Abstract:
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.
Key words:Brownian motion, “downfall” and “range” of Brownian motion, Kagi and Renko strategies, Kagi and Renko stopping times.
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