On Some Properties of Kagi and Renko Trading Strategies for Brownian Motion

DOI10.1137/S0040585X97985376zbMATH Open1258.91183OpenAlexW2018130395MaRDI QIDQ4905013

M. A. Spiryaev

Publication date: 14 February 2013

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97985376

zbMATH Keywords

random walkdownfall and range of random walkKagi and Renko stopping timesKagi and Renko trading strategies

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Some properties of Kagi and Renko moments for Brownian motion ⋮ Properties of Kagi and Renko moments for homogeneous diffusion processes

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