Geodesic
On some probabilistic-statistical methods in technical analysis
Teoriâ veroâtnostej i ee primeneniâ, Tome 49 (2004) no. 2, pp. 297-316 Cet article a éte moissonné depuis la source Math-Net.Ru

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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.
Mots-clés : $\Delta$-variation, $H$-variation, $H$-fluctuation, renko-$H$-inversion
Keywords: $\Delta$-volatility, kagi-$H$-inversion, renko-$H$-volatility, kagi-$H$-volatility, renko-$H$-strategy, kagi-$H$-strategy. 
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S. V. Pastukhov. On some probabilistic-statistical methods in technical analysis. Teoriâ veroâtnostej i ee primeneniâ, Tome 49 (2004) no. 2, pp. 297-316. http://geodesic.mathdoc.fr/item/TVP_2004_49_2_a3/

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