Work

An Optimal Stopping Problem Modeling Technical Analysis

Year: 2017

Type: preprint

Abstract: We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1707.05253

Authors: Maeda, Jun, Jacka, Saul D.

Institution: University of Warwick

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Engineering and Physical Sciences Research Council

Awards: Coupling and Control in Continuous Time, G1633672591, G444630160, The Alan Turing Institute

OpenAlex ID: W3013565581

Cites: 11

Cited by: 1

Related to: 20