An Optimal Stopping Problem Modeling Technical Analysis
Jun Maeda, Saul D. Jacka
TL;DR
This paper introduces a new optimal stopping framework that models financial technical analysis concepts like support and resistance lines, providing a novel mathematical approach to decision timing in trading.
Contribution
It proposes a new optimal stopping model with dynamics that capture key technical analysis features, advancing the mathematical understanding of trading strategies.
Findings
The model accurately captures support/resistance dynamics.
It offers a new method for timing trading decisions.
The approach extends existing optimal stopping theory.
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.
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Taxonomy
TopicsStochastic processes and financial applications · Auction Theory and Applications · Scheduling and Optimization Algorithms