Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2012, Number 2, Pages 29–34 (Mi vmumm476)  
Mathematics

Some properties of Kagi and Renko moments for Brownian motion

M. A. Spiryaev

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
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Abstract: The probabilistic characteristics of Kagi and Renko techniques are studied in the paper. Within the framework of the Bachelier model, a formula for expected gain of a trader following the Kagi strategy is derived. In addition, some properties of the “range” and ‘downfall’' of the Brownian motion are obtained.
Key words: Brownian motion, “downfall” and “range” of Brownian motion, Kagi and Renko strategies, Kagi and Renko stopping times.
Received: 08.07.2011
English version:
Moscow University Mathematics Bulletin, 2012, Volume 67, Issue 2, Pages 74–78
DOI: https://doi.org/10.3103/S0027132212020076
Bibliographic databases:
Document Type: Article
UDC: 511
Language: Russian
Citation: M. A. Spiryaev, “Some properties of Kagi and Renko moments for Brownian motion”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2012, no. 2, 29–34; Moscow University Mathematics Bulletin, 67:2 (2012), 74–78
Citation in format AMSBIB
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\by M.~A.~Spiryaev
\paper Some properties of Kagi and Renko moments for Brownian motion
\jour Vestnik Moskov. Univ. Ser.~1. Mat. Mekh.
\yr 2012
\issue 2
\pages 29--34
\mathnet{http://mi.mathnet.ru/vmumm476}
\transl
\jour Moscow University Mathematics Bulletin
\yr 2012
\vol 67
\issue 2
\pages 74--78
\crossref{https://doi.org/10.3103/S0027132212020076}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84870384783}
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