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Some properties of Kagi and Renko moments for Brownian motion - MaRDI portal

Some properties of Kagi and Renko moments for Brownian motion

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Publication:355294

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DOI10.3103/S0027132212020076zbMath1270.91041OpenAlexW2074847342MaRDI QIDQ355294

M. A. Spiryaev

Publication date: 24 July 2013

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0027132212020076

zbMATH Keywords

Brownian motion trade models Bachelier model expected gain Kagi and Renko moments

Mathematics Subject Classification ID

Brownian motion (60J65) Trade models (91B60)

Cites Work

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