A mathematical proof of the soundness of the Fibonacci retracement rule in technical analysis of asset prices

Name: A mathematical proof of the soundness of the Fibonacci retracement rule in technical analysis of asset prices
Creator: Pujadas Ramalhinho, Vera
Keywords: CEV model, Classificació AMS::60 Probability theory and stochastic processes::60G Stochastic processes, Processos estocàstics, Stopping time, Technical Analysis, Mathematical finance, Bessel processes, :60 Probability theory and stochastic processes::60G Stochastic processes [Classificació AMS], Fibonacci, Stochastic processes

Pujadas Ramalhinho, Vera

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Bachelor thesis . 2021

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Recolector de Ciencia Abierta, RECOLECTA

Bachelor thesis . 2021

License: CC BY NC SA

Data sources: Recolector de Ciencia Abierta, RECOLECTA

Recolector de Ciencia Abierta, RECOLECTA

Bachelor thesis . 2021

License: CC BY NC SA

Data sources: Recolector de Ciencia Abierta, RECOLECTA

A mathematical proof of the soundness of the Fibonacci retracement rule in technical analysis of asset prices

descriptionPublicationkeyboard_double_arrow_right Bachelor thesis 01 Jan 2021 English Publisher:Universitat Politècnica de Catalunya

Authors: Pujadas Ramalhinho, Vera;

handle: 2117/336293

A mathematical proof of the soundness of the Fibonacci retracement rule in technical analysis of asset prices

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Abstract

This project covers the idea of the Fibonacci retracement rule and its mathematical proof. Firstly, a thorough analysis of stochastic processes, in particular, diffusion processes such as the Brownian motion, the CEV model or Bessel processes, will be done. Then it follows with a study of Technical Analysis and the Fibonacci and golden numbers, introducing the concept of the Fibonacci retracement rule. Finally, a detailed proof of the soundness of the rule will be given. At the end, we encounter codes for simulating diffusion process and real financial stocks applying the Fibonacci retracement rule.

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Keywords

CEV model, Classificació AMS::60 Probability theory and stochastic processes::60G Stochastic processes, Processos estocàstics, Stopping time, Technical Analysis, Mathematical finance, Bessel processes, :60 Probability theory and stochastic processes::60G Stochastic processes [Classificació AMS], Fibonacci, Stochastic processes, Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica, :Matemàtiques i estadística::Estadística matemàtica [Àrees temàtiques de la UPC], Fibonacci retracement rule, Brownian Motion, Diffusion processes, Golden number

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