Mathematical model for resistance and optimal strategy

Blandine Berard Bergery (1) , Christophe Profeta (1) , Etienne Tanré (2)

1 IECN - Institut Élie Cartan de Nancy
2 TOSCA - Simuler et calibrer des modèles stochastiques

We propose a mathematical model for one pattern of charts studied in technical analysis: in a phase of consolidation, the price of a risky asset goes down $\xi$ times after hitting a resistance level. We construct a mathematical strategy and we calculate the expectation of the wealth for the logaritmic utility function. Via simulations, we compare the strategy with the standard one.

Mots clés: portfolios; applications in optimization; resistance

Domaines: Probabilités [math.PR]

Blandine Berard Bergery, Christophe Profeta, Etienne Tanré. Mathematical model for resistance and optimal strategy. 2008. ⟨hal-00343924v2⟩