49

2004

c 2004 .

. .

-

, . ,
H- (H > 0) renko-, kagi-.
H-
, , . renko-, kagi-H-.
:
-, -,
H-, H-, renko-H-, kagi-H-,
renko-H-, kagi-H-, renko-H-, kagi-H-.

1. . X = (X(t))t
0,
,
H- H > 0 (. [3]). , X
, ,
.
H- (1)
(2) (. ),
renko, kagi ( ,
, XIX ,
. 2). (1), (2)
|X(t) X(0)|, max[0,t] X X(t) , (. 1),
. ,
-
(. [5, . 419]),
(. (3)), .

. . . ,
, 119992 , ; e-mail: acl@misis.ru

298

. .

, H- -. , -, X
, H- . , X , H,
, , .
X , H- (.
. 3). , , 2H ( H- ). , , H- 2H
. , , (. 2 3). : H- 2H, , ..
, X , ,
. H- 2H,
, .. X
.
, X,
, H- .
, H- .
H- (. [3]),
() X.
. . 2
H- H-, . 3 , . 4 ,
H-, . 5 H-
(), . 6 ,
. 7 .
2. H- H-. X = (X(t))t
0

299

(, F , (Ft)t
0 , P) R1 . ,
X . H-
X. H, T > 0
UT (H, X) = sup

K

T1 k=1

VT (H, X) = sup

L

T2 l=1

|X(tk) X(tk1 )|,

(1)

|X(tl ) X(tl1 )|,

(2)

T1 (t0 , t1 , . . . , tK ) ,
0 = t0 < t1 < < tK
T |X(tk) X(tk1)|/H N = {1, 2, . . .}
k = 1, . . . , K, T2 (t0 , t1 , . . . , tL)
, 0
t0 < t1 < < tL
T |X(tl ) X(tl1)|/H [1, +)
l = 1, . . . , L.
(1) H- X [0, T ], (2) H- X
[0, T ]. - H > 0 (1), (2), .
- (. [5, . 419]),
,
[T /]

ZT (, X) =

|X(k) X((k 1))|,

(3)

k=1

, T > 0, [ ] . (1), (2) (3) , X H

,
sup

N

|X(tn ) X(tn1)|,

n=1

(t0 , t1 , . . . , tN ) , 0
t0 <
t1 < < tN
T . , , , -
,
. , (1), (2) X
, , (3).
X (3),

T (, X) =

ZT (, X)
,
[T /]

(4)

300

. .

-. T (, X)
(1), (2), . .
1. X
[0, T ]. H > 0 M = MT (H, X) N = NT (H, X), (m , m)m=0,1,...,M (n , n)n=0,1,...,N , (m )m=0,1,...,M ,
(n )n=0,1,...,N , m , n, ,
X [m1 , m ], [n1, n ] (1 = 1 = 0),
UT (H, X) =

M


m=1

VT (H, X) =

N


n=1

|X(m) X(m1 )|,

|X(n) X(n1
)|.

(5)
(6)

(m , m), (n , n) 1 renko-
kagi-.
, , XIX , (. [7]). renko ( renga)
kagi
(, . . . ). , kagi- renko-, , [2],
-
, , [4]. , MT (H, X), NT (H, X) 1
- (
. 1 . 7).
MT (H, X) renko-H-,
NT (H, X) kagi-H- X [0, T ]. , , renko, kagi
. (. . 5),
H-
( )
. 1 ,
MT (H, X) NT (H, X) (1) (2) . (4)

301

UT (H, X)
,
MT (H, X)
VT (H, X)
T (H, X) =
.
NT (H, X)

(7)

T (H, X) =

(8)

(7) renko-H-, (8) kagi-H- X [0, T ].

(7), (8) p  1
T(p) (H, X) =

(9)

(p)

(p)

T (H, X) =
(p)

(p)

UT (H, X)
,
MT (H, X)
VT (H, X)
,
NT (H, X)

(10)

(p)

UT (H, X), VT (H, X)

(p)

UT (H, X) =
(p)

VT (H, X) =

M


m=1
N


n=1

|X(m) X(m1)|p ,

|X(n) X(n1
)|p,

(11)
(12)

M = MT (H, X), N = NT (H, X), (m )m=0,1,...,M (n )n=0,1,...,N ,

1. (9) renko-H-
p, (10) kagi-H- p X [0, T ].
3. .
renko-, kagi-H- p
W = (Wt )t
0 .
. W ,
p  1, H > 0, > 0
(p)

lim T (H, W ) = RW (p) H p

T +

(p)

lim T (H, W ) = KW (p)H p

T +

(..),

(13)

(..),

(14)

p
n
p
RW (p) =
n=1 n /2 , KW (p) = E(2 + W /H) , = inf{u  0:
max[0,u] W Wu = H}.
(p)

p = 1 T (H, W ) [3]. H-

 . .

302

, renko- kagi- |X(t)X(0)| max[0,t] X X(t) (.

1). , X , [6, . 211].
, p = 1 , RW (1) = KW (1) = 2
(. . 7). ,
RW (p), KW (p) , .. H- ( ) . , (. . 6). renko-, kagi-H .
2. W ,
H, > 0
2H 2
T
=
T + MT (H, W )
2
H2
T
= 2
lim
T + NT (H, W )

(..),

lim

(..).

(15)
(16)

, , H-, H-
W . ,
(. . 5),
H- ( )
. 2.
1. W ,
p  1, H > 0, > 0
2UT(p) (H, W )
= 2 RW (p)H p2 (..),
T +
T
(p)
V (H, W )
= 2 KW (p)H p2 (..).
lim T
T +
T
lim

(17)
(18)

4. Renko-, kagi-H-. , ,
(13), (14), . X, ,
p = 1, 2, ,
T :
(p)

T (H, X) CR (p)H p,

(p)
T (H, X)

CK (p)H ,

(19)
(20)

CR (p) = CR (p, X), CK (p) = CK (p, X) X

p

303

H ( . . 6). p = 1, p = 1 . CR (1), CK(1)

RW (1) = KW (1) = 2 ( , . . 7).
, , CR (1), CK (1) 2, ,
X. ,
H- ( , )

.
,
X (.. ),
(
, , , ). [0, T ]
(m, m )m=0,...,MT (H,X) , (n , n )n=0,...,NT (H,X) , 1,  R = (tR(H, X))0tT ,
 K = (tK (H, X))0tT , X
, :
tR(H, X) =
tK (H, X) =

MT (H,X)

m=1
NT (H,X)

n=1

sign (X(m1) X(m1)) [m1 ,m ) (t),

(21)

sign (X(n1) X(n1

)) [n1 ,n ) (t),

(22)

A (t) A.  R
 K renko+ -H- kagi+ H- X [0, T ]. , renko+ -H , m X,
X(m) X(m) > 0, , X(m) X(m) < 0.
[0 , M )
X , (m )m=0,...,M .
(. [7]), , (.
1), . kagi+ -H-
. t [0, T ],  R,  K ,

YtR (H, X) =

uR(H, X) dX(u),

YtK (H, X) =

uK (H, X) dX(u).

 . .

304

T [0, T ].
1. renko+ -, kagi+ -H- (21), (22)
X [0, T ]
YTR (H, X) = (T (H, X) 2H) MT (H, X) + R
T (H, X),
YTK (H, X) = (T (H, X) 2H) NT (H, X) + K
T (H, X),
K
0 < R
T (H, X) < 2H, 0 < T (H, X)
H.
, H-
2H (,
SP500, Nasdaq100, . . 6),  R ,  K .
, ,
, .. ( R ), ( K ). . , X
renko,

lim ET (H, X) = R(H) H.

(23)

T +

, X kagi,
lim ET (H, X) = K(H) H.

(24)

T +

, (19), (20) . R = (tR(H, X))0tT ,

K = (tK (H, X))0tT :
tR(H, X) = tR(H, X) ({R(H)
2} {R(H)<2} ),

(25)

tK (H, X) = tK (H, X) ({K(H)
2} {K(H)<2} ),

(26)

 R,  K (21) (22) .
R
K
renko-H-
kagi-H- X [0, T ]. (25)
: R(H)  2,
, .. m
, X , , .
R(H) < 2, , ..
m
. kagi-H- . t [0, T ], ,

YtR (H, X) =


0

uR(H, X) dX(u),

YtK (H, X) =


0

uK (H, X) dX(u).

305

yTR (H, X) =

YTR (H, X)
,
MT (H, X)

yTK (H, X) =

YTK (H, X)
,
NT (H, X)

[0, T ]
R, K .
2. X renko- (23), renko-H- (25)
lim EyTR (H, X) = |R(H) 2| H.

T +

, R(H) = 2 ( ,
) renko-H- , . kagi-H-.
3. X kagi- (24),
kagi-H- (26)
lim EyTK (H, X) = |K(H) 2| H.

T +

, (19), (20) R(H), K(H)

. ,
renko-, kagi-H- H, .
5. H- (). H-, (.
. 6),

. , H-
. H-
(
-, ).
, , H-. 2 (.. ) X = W ,
W ,


renko = H

2MT (H, X)
,
T

kagi = H

NT (H, X)
.
T

(27)

 . .

306

T H. , X ,
H T (. . 6). , (27)
. , . , kagi-H- ( kagi ) : [0, T ] X, ,
H? , , kagi-H-, . RenkoH- , ,
 (H, X).
MT (H, X), M
T
T (H, X) 1 (. . 7),
M
 (H, X) , , M
T
H X [0, T ],
X(0) + kH, k . ,
W (. 2)
T (H, W )
M
= 2 (..).
T + MT (H, W )

lim

, (27)  (H, X) 2M (H, X). M

T
T
, renko
, MT (H, X).
H- .
X = (X(t))0tT
RT (X) = max X min X.
[0,T ]

[0,T ]

X W , W
, > 0, (., , [1])


RT (X)
8

1.596.
(28)
=
E

T
X (27), kagi .
Tkagi (H, X) =

RT (X)
.
H NT (H, X)

(29)

307

, X
, (. . 6)
Tkagi (H, X) C,

(30)

 C = C(X) H
8 (. (28)). , ,


RT (X) CH NT (H, X) .
renko-H-. , ,
H-
. , X = W ,
W ,
1 (p = 2) (RW (2) = 6, KW (2) = 5, .
. 7)

(2)

renko =

(2)

UT (H, X)
,
3T


(2)

kagi =

(2)

VT (H, X)
.
5T

(31)

(. . 6),
X , , (27),
H. , (31)
H, (27), .. H. ,
, renko , kagi
, (31) 3
5, ,
, , .
6. . SP500 (EminiSP500 futures) Nasdaq-100 (Emini-Nasdaq100
futures), CME (Chicago Mercantile Exchange),
20022003 . ( 471 ).
, ..
, . ,
t 1 , X(t) t.

 . .

308

i- renko-, kagi-H M (i), N (i) U (1) (i), U (2)(i), V (1) (i), V (2)(i) (11), (12) , kagi (i) (29).


M = M (i), N = N (i),




U (1) (i), U (2) =
U (2)(i), V (1) =
V (1) (i), V (2) =
V (2)(i),
U (1) =


kagi = kagi (i)/ 1, i-
. H
( 1 $50 Emini-SP500 $20 EminiNasdaq100). 1 2 H, , ,
(19), (20) (30).
H
1 1.25 1.5
/H 1.83 1.84 1.86
(2) /H 2 4.86 4.91 5.04
renko 22.9 22.7 22.5
(1)

(2)

renko
(1) /H
(2) /H 2
kagi
(2)

kagi
kagi

20.6
1.83
4.23
21.1

20.6
1.85
4.28
21.2

20.6
1.85
4.31
21.1

1.75 2 2.25 2.5

1.88 1.88 1.86 1.88
5.17 5.21 5.06 5.14
22.3 22.1 22.6 22.7

2.75 3 3.25 3.5

1.84 1.83 1.80 1.79
4.86 4.83 4.57 4.54
23.4 23.5 24.7 25.0

3.75 4
1.75 1.69
4.26 3.94
26.0 27.4

20.7
1.87
4.38
21.1

21.0
1.93
4.61
20.9

21.9
1.87
4.32
22.2

20.6
1.89
4.47
20.9

20.8
1.91
4.54
20.8

21.0
1.93
4.63
20.7

21.1
1.92
4.55
21.2

21.6
1.90
4.46
21.5

21.8
1.89
4.38
21.8

22.2
1.87
4.30
22.4

19.5 19.6 19.6 19.7 19.8 19.9 20.0 20.0 20.2 20.3 20.4 20.6 20.8
1.49 1.51 1.52 1.54 1.57 1.59 1.61 1.60 1.58 1.58 1.55 1.58 1.60
1. Emini-SP500 futures

H
2
2.5
3
/H 1.85 1.86 1.86
(2) /H 2 4.95 5.02 5.00
renko 46.0 45.4 45.4
(1)

(2)

renko
(1) /H
(2) /H 2
kagi
(2)

kagi
kagi

41.8
1.86
4.40
41.8

41.5
1.88
4.45
41.8

41.5
1.89
4.44
42.1

3.5
4
4.5
5
1.87 1.89 1.87 1.86
5.07 5.13 5.06 4.95
45.1 45.0 45.9 46.2

5.5
6
6.5
7
1.83 1.83 1.79 1.76
4.77 4.73 4.57 4.36
47.4 48.7 50.6 51.7

7.5
8
1.72 1.70
4.14 4.06
54.2 54.4

41.4
1.89
4.43
42.3

42.2
1.91
4.52
42.6

45.1
1.89
4.36
44.6

41.6
1.89
4.43
42.4

42.1
1.89
4.44
42.6

42.0
1.90
4.47
42.6

43.3
1.92
4.53
42.8

44.2
1.91
4.48
43.3

44.1
1.90
4.43
43.9

44.7
1.87
4.24
45.7

39.2 39.5 39.7 39.8 39.9 40.2 40.3 40.5 40.7 41.0 41.3 41.7 42.1
1.55 1.55 1.55 1.55 1.56 1.57 1.59 1.60 1.62 1.62 1.60 1.59 1.59
2. Emini-Nasdaq100 futures

, H-
. , -

309

H- , , H-
( H-, . . 5). Emini-SP500
1
(1)(i)/H,
futures H = 1.5 Drenko
2
(2) (i)/H 2, i
Drenko
, (1)(i) ( (2) (i)) renko-H- i- .
1
2
, Dkagi
.
Dkagi

1
0.07,
Drenko

2
Drenko
3,

1
Dkagi
0.02,

2
Dkagi
0.7.

, renko , kagi. , kagi- renko

. H
.
,
, 20012002 . (479 ). ,
1 , X(t)
t. H ,
, H H [1.1, 2.4]
0.1, 3.
(2)

(2)

(1) /H (2) /H 2 renko renko (1) /H (2) /H 2 kagi kagi kagi

1.99

5.95

0.170

0.169

2.01

5.10

0.154 0.156 1.73

3.

7. .
1. H-
:
0 = 0, . . .,

i+1 = inf{t  i: |X(t) X(i)| = H}.

X ,
=M
 (H, X) , .. |X( ) X(u)| < H
M
T

M
,
T
].
,
(i)i=0,...,M
u [M

(im )m=1,...,M 1 M = MT (H, X), i1 < <
iM 1
(X(im ) X(im1 ))(X(im+1 ) X(im )) < 0.

 . .

310

0 = 0, 0 = 1 , M = M
 , M = T , m = im , m = im +1
m = 1, . . ., M 1. [0, T ]
M = MT (H, X) (m , m)m=0,...,M .
, (m )m=0,...,M (5). H- .
: 0 = inf{u [0, T ]: max[0,u] X min[0,u] X = H},

arg min X,

[0,0 ]

X(0) = max X,

arg max X,

X(0) = min X.

[0,0 ]

[0,0 ]

[0,0 ]

(n n + 1):

n+1

inf{u [n , T ]: max X X(u) = H},

[n ,u]

X(n) X(n) = H,
=

inf{u [n , T ]: X(u) min X = H},

[n ,u]

n+1
=

arg max X,

[n ,n+1 ]

arg min X,
[n ,n+1 ]

X(n) X(n) = H,

X(n) X(n) = H,

X(n) X(n) = H.

X [0, T ], , , n , .. n +1 .
N = n + 1, N = T
N =

arg max X,

[ ,T ]

X(n ) X(n ) = H,

arg min X,

X(n ) X(n ) = H.

[n ,T ]

[0, T ] N = NT (H, X)
(n , n )n=0,...,N .

,
n < n
n+1

|X(n) X(n)| = H

N
N = T,

|X(N ) X(N )| < H,

n = 0, . . ., N 1,

sign (X(n) X(n1

)) = sign (X(n1) X(n1
))

= (1)n+1 sign (X(0) X(0))

n = 1, . . ., N.

(32)

(m , m)m=0,...,M , ..
m < m
m+1 ,
M

M = T,

sign (X(m)

|X(m) X(m)| = H

|X(M ) X(M )| < H,

X(m1)) = sign (X(m1)

= (1)m+1 sign (X(0) X(0 ))

m = 0, . . ., M 1,
X(m1))

m = 1, . . ., M.

(33)

311

, , (m )m=0,...,M ,
(n )n=0,...,N , m , n m = 0, . . ., M ,
n = 0, . . . , N m , n
X [m1 , m], [n1, n ] (1 = 1 = 0).
H , , (1), (2) , ,
, , 0 . , (m , m)m=0,...,M ,
(n , n )n=0,...,N , .. M, N  1.
F , [0, T ],
(t0 , . . . , tL) , 0
t0

tL
T ,

(t0 , . . . , tL ) =

L

|F (tl ) F (tl1 )|.

l=1

(5), (6) ,
(m )m=0,...,M , (n )n=0,...,N , F ,
(0 , . . . , M ) = UT (H, F ),

(0 , . . . , N ) = VT (H, F ).

, (0 , . . . , N ) = VT (H, F ). (t0 , . . . , tL ) T2 , (t0 , . . . , tL)
(0 , . . . , N ).

i = 1, . . . , L 1 ,
(F (ti ) F (ti1 ))(F (ti+1 ) F (ti )) > 0,
ti (t0 , . . ., tL ) . , (s0 , . . ., sM ) T2 , (s0 , . . ., sM ) (t0 , . . . , tL)

(F (si ) F (si1 ))(F (si+1 ) F (si )) < 0

i = 1, . . ., M 1.

, , (t0 , . . . , tL ) = (s0 , . . . , sM ). F (1 )F (0 ) > 0 i [0, s1],

(0 , . . . , I). , , 0 [0, s1 ].
.
1: F (s1 ) F (s0 ) > 0. I , (s0 , . . . , sM ) s0 , s1 0 , . . . , I . I
( 0), F (s1 ) F (I )  H s0
0 , . . . , I , , .. F (s1 ) F (I ) < H (, I > 1),

.
s0 , s1 0 , . . ., I1
2: F (s1 ) F (s0 ) < 0. I , (s0 , . . ., sM ) s0 , s1 0 , . . . , I . I

 . .

312

, F (I )F (s1 )  H s0 0 , . . . , I, ,

.
.. F (I ) F (s1 ) < H, s0 , s1 0 , . . . , I1
(u0 , . . . , uP ) T2 ,
(u0 , . . ., uJ ) = (0 , . . ., J ), (uJ+1 , . . ., uP ) = (sJ  , . . . , sM ), J {I 1, I},
J  {1, 2} . (u0 , . . . , uP )  (s0 , . . . , sM )
(F (ui ) F (ui1 ))(F (ui+1 ) F (ui )) < 0

i = 1, . . . , P 1.

[uJ , uJ+1 ] .
F (uJ+1 ) F (uJ ) > 0

, . . ., J+Q
) Q  1
i (uJ , uJ+1 ]. (J+1

, ,
( , uJ+1 J+1

, J+1 (uJ , uJ+2 ), F (J+1 )  F (uJ+1 )). Q

, . . . , J+Q
). Q ,
, uJ+1 (J+1

F (uJ+1 ) F (J+Q )  H

, . . . , J+Q
), , .. F (uJ+1 )F (J+Q
) < H, uJ+1
(J+1

(J+1 , . . ., J+Q1 ). (w0 , . . . , wK ) T2 ,

(w0 , . . . , wJ+Q ) = (0, . . . , J+Q

 ), (wJ+Q +1 , . . . , wK ) (uJ+1 , . . . , uP ),

Q {Q 1, Q}, (w0 , . . . , wK )  (u0 , . . . , uP )
(F (wi) F (wi1 ))(F (wi+1 ) F (wi )) < 0

i = 1, . . . , K 1.

[wJ+Q , wJ+Q +1 ]
( J + Q + 1 = K, [wJ+Q , T ]) ,
(0 , 1, . . . , N ); ..
(t0 , . . ., tL )
(0 , . . . , N )

(t0 , . . ., tL ) T2 ,

, VT (H, F )
(0 , . . ., N ). .
, (0 , . . ., M ) = UT (H, F ). F :


F (t) =

F (i),
F (M
 ),

t [i, i+1 ),

 1,
i = 0, . . . , M

t [M
 , T ].

, (0, . . . , M
 ) T1 ; ,
(t0 , t1 , . . . , tK ) T1 :
k = 0, . . . , K

: F (tk ) = F (m ).
m = m(k) = 0, . . ., M

, UT (H, F ) = UT (H, F ). -
F ( F ) (0 , . . . , M )  UT (H, F )
. , (0 , . . ., M ) (0 , . . . , M
)
i,
(F (i) F (i1 ))(F (i+1) F (i )) > 0.

313

, (0 , . . . , M )
UT (H, F ) , ,
(0 , . . . , M ) = UT (H, F ) = UT (H, F ). 1 .
. MT (H, X), NT (H, X)
- . : [0, T ] f - n N =
{1, 2, . . .}, (t0 , . . ., tn ) , 0 = t0 <
t1 < < tn = T f i = [ti1 , ti ],
i = 1, . . ., n, i
(. [4]). n . (F (t))t[0,T ] n n ,

Mn (F ) = inf sup |F (t) f (t)|.

fn t[0,T ]

[3] , [0, T ] F


NT (H, F ) = min n N: Mn (F ) <

H
2

MT (H, F ) ,
MT (H, F ) - F , F (F (i ))i=0,...,M
((i)i=0,...,M
 , 1). :

F (t) =

t i

F (i ) + (F (i+1 ) F (i))

,

i+1 i

F ( ),

M

t [i, i+1 ],
 1,
i = 0, . . . , M

t [M
 , T ].

, ,
MT (H, F ), NT (H, F ) , ..
F H, T .
.
= 1. (m , m)m=0,...,M , (n , n )n=0,...,N
, 1. (33) ,
m = 1, . . . , M 1
|Wm Wm1 |p = |Wm Wm + Wm Wm1 + Wm1 Wm1 |p


= 2H + (Wm Wm1 ) sign (Wm Wm1 )

p

. (34)

 . .

314

sign (Wm Wm1 ) (Wt )t[m1 ,m ] , (m ) , (|Wm Wm1 |p )m=1,...,M 1

. M = MT (H, X) + (..) T +,
|WM WM 1 |p = (2H + (WM WM 1 ) sign (WM WM 1 ) + M )p ,
M (2H < M < 0),

M

m=1

|Wm Wm1 |p
M

E|W1 W0 |p

(..)

T +.

(..)

T +.

,
N

n=1

|Wn Wn1
|p

E|W1 W0 |p

E|W1 W0 |p . (k )k=1,2,...

1,
0.5,
k =
1,
0.5.


n = nk=1 k , n = 1, 2, . . .,

= min{n  1: n = n 2}.
, n . ,
Law
(34), |W1 W0 |p = (2H + H)p, , = 2,


E p = n=1 np /2n , (13) = 1.

(14)


= inf u  0: max W Wu = H .

(35)

[0,u]

0 , 1 ,
Law

(W1 W0 ) sign (W1 W0 ) = W ,

, E|W1 W0 |p = E(2H + W )p , .
> 0 Law
: (Wt ; 0
t
T ) = (Wt ; 0
t
2 T ). ,
(p)

Law

(p)

(p)

Law

(p)

(MT (H, W ), UT (H, W )) = (M2 T (H, W ), U2T (H, W )),

(NT (H, W ), VT (H, W )) = (N2 T (H, W ), V2T (H, W )).
.

(36)
(37)

315

. p = 1, 2 RW (p),
KW (p). , RW (1) = 2, RW (2) = 6.
KW (1), KW (2),
 = inf{u  0: |Wu | = H}.

(38)
Law

(. [6, . 211]) |Wt | = max[0,t] W Wt ,

 , , E = E .
E = EW2 = H 2 , EW2 = H 2 ,
EW = 0, , KW (1) = 2, KW (2) = 5.
2.
= 1. (m )m=0,...,M , (n )n=0,...,N , 1.
(m m1 )m=1,...,M (n n1 )n=1,...,N ,

Law
Law
(n n1 ) = ,
(m m1 ) =  ,
,  (35), (38) . E = E = H 2 (. ), T +
 = M
T (H, W ) +, N = NT (H, W ) + (..), M
(16)
= 1
lim

T +

T (H, W )
M

= H2

(..).

(39)
(p)

(15) = 1 UT (H, W )
p = 1. ,
T (H, W ) H.
UT (H, W ) = M
(1)

(13) (39) . > 0 (36), (37).

1. renko. (21), (33)
YTR (H, X) =

MT (H,X)


0

m=1
MT (H,X)

(1)m+1 sign (X(0) X(0 ))

[m1 ,m ) (t) dX(t)

(1)m+1 sign (X(0) X(0 )) X(m) X(m1)

m=1

+ X(m) X(m) + X(m1) X(m1)

MT (H,X)

m=1

(|X(m) X(m1)| 2H) + R

T (H, X),

(40)

 . .

316

R
R
R
T (H, X) = H +
T (H, X), |
T (H, X)| = |X(MT (H,X) )X(MT (H,X) )|.
R
(33) 0 < T (H, X) < 2H. kagi , 0 < K
T (H, X)
H. 1 .
2. R(H)  2,
(40)

YTR (H, X) = (T (H, X) 2H) MT (H, X) + R

T (H, X),

lim EyTR (H, X) = lim ET (H, X) 2H + lim E

T +

T +

T +

R
T (H, X)
MT (H, X)

= (R(H) 2) H.
, R(H) < 2, (40)
YTR (H, X) = (2H T (H, X))MT (H, X) R
T (H, X),
, limT + EyTR (H, X) = (2 R(H)) H.
2 . 3 .
. . . .
.

1. ., ., . . . . .,
1999, . 44, . 1, . 313.
2. . ., . . . . , 2002, . 387, 6, . 754756.
3. . . H- . .
, 2003, . 58, 1, . 191192.
4. . . -. Anal.
Math., 1975, v. 1, p. 141164.
5. . . . . 1. .: ,
1998, 489 .
6. Karatzas I., Shreve S. E. Brownian Motion and Stochastic Calculus. New York:
Springer-Verlag, 1998, 470 p.
7. Nison S. Beyond Candlesticks: New Japanese Charting Techniques Revealed. New
York: Wiley, 1994, 280 p.

19.I.2004