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Teoriya Veroyatnostei i ee Primeneniya, 2004, Volume 49, Issue 2, Pages 297–316
DOI: https://doi.org/10.4213/tvp220 (Mi tvp220) 		 
This article is cited in 8 scientific papers (total in 8 papers)

On some probabilistic-statistical methods in technical analysis

S. V. Pastukhov

M. V. Lomonosov Moscow State University
Full-text PDF (1979 kB) Citations (8)
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DOI: https://doi.org/10.4213/tvp220
Abstract: This paper gives a mathematical basis of some methods of technical analysis which are used in the financial market. In particular, with the help of the introduced notion of the $H$-volatility ($H>0$), the so-called renko- and kagi-models are founded and corrected. For a Wiener process the $H$-volatility has the properties which take place also in the financial market with some differences which indicate the existence of arbitrage possibilities. We obtain this arbitrage with the help of introduced renko-, and kagi-$H$-strategies.
Keywords: $\Delta$-variation, $\Delta$-volatility, $H$-variation, $H$-fluctuation, renko-$H$-inversion, kagi-$H$-inversion, renko-$H$-volatility, kagi-$H$-volatility, renko-$H$-strategy, kagi-$H$-strategy.
Received: 19.01.2004
English version:
Theory of Probability and its Applications, 2005, Volume 49, Issue 2, Pages 245–260
DOI: https://doi.org/10.1137/S0040585X97981020
Bibliographic databases:
Language: Russian
Citation: S. V. Pastukhov, “On some probabilistic-statistical methods in technical analysis”, Teor. Veroyatnost. i Primenen., 49:2 (2004), 297–316; Theory Probab. Appl., 49:2 (2005), 245–260
Citation in format AMSBIB
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\by S.~V.~Pastukhov
\paper On some probabilistic-statistical methods in technical analysis
\jour Teor. Veroyatnost. i Primenen.
\yr 2004
\vol 49
\issue 2
\pages 297--316
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\zmath{https://zbmath.org/?q=an:1170.91504}
\transl
\jour Theory Probab. Appl.
\yr 2005
\vol 49
\issue 2
\pages 245--260
\crossref{https://doi.org/10.1137/S0040585X97981020}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000230308000004}
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  • https://doi.org/10.4213/tvp220
  • https://www.mathnet.ru/eng/tvp/v49/i2/p297
    • This publication is cited in the following 8 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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