Geodesic
Some properties of Kagi and Renko moments for Brownian motion
Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 2 (2012), pp. 29-34 
M. A. Spiryaev. Some properties of Kagi and Renko moments for Brownian motion. Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 2 (2012), pp. 29-34. http://geodesic.mathdoc.fr/item/VMUMM_2012_2_a6/
@article{VMUMM_2012_2_a6,
     author = {M. A. Spiryaev},
     title = {Some properties of {Kagi} and {Renko} moments for {Brownian} motion},
     journal = {Vestnik Moskovskogo universiteta. Matematika, mehanika},
     pages = {29--34},
     year = {2012},
     number = {2},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VMUMM_2012_2_a6/}
}
TY  - JOUR
AU  - M. A. Spiryaev
TI  - Some properties of Kagi and Renko moments for Brownian motion
JO  - Vestnik Moskovskogo universiteta. Matematika, mehanika
PY  - 2012
SP  - 29
EP  - 34
IS  - 2
UR  - http://geodesic.mathdoc.fr/item/VMUMM_2012_2_a6/
LA  - ru
ID  - VMUMM_2012_2_a6
ER  - 
%0 Journal Article
%A M. A. Spiryaev
%T Some properties of Kagi and Renko moments for Brownian motion
%J Vestnik Moskovskogo universiteta. Matematika, mehanika
%D 2012
%P 29-34
%N 2
%U http://geodesic.mathdoc.fr/item/VMUMM_2012_2_a6/
%G ru
%F VMUMM_2012_2_a6

Voir la notice de l'article provenant de la source Math-Net.Ru

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.

[1] Nison S., Beyond candlesticks: new Japanese charting techniques revealed, Wiley, N.Y., 1994

[2] Pastukhov S.V., “O nekotorykh veroyatnostno-statisticheskikh metodakh v tekhnicheskom analize”, Teoriya veroyatnostei i ee primeneniya, 49:2 (2004), 297–316 | DOI | MR

[3] Spiryaev M.A., “O nekotorykh svoistvakh strategii Kagi i Renko dlya sluchainogo bluzhdaniya”, Teoriya veroyatnostei i ee primeneniya, 56:2 (2011), 279–300 | DOI | MR