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Optimal Liquidation with Support and Resistance Levels under Multi-Skew Brownian Motion
Abstract
We solve the perpetual liquidation problem for a geometric multi-skew Brownian motion carrying local-time pushes upward at a support level and downward at a resistance level, a model of technical analysis that is Markov in the price alone. Three geometries arise, separated by a closed-form criterion: the continuation band lies below resistance, straddles it, or pins its upper edge there. Selling into resistance is a conclusion rather than an assumption. Identification is asymmetric: exercise behaviour determines the support parameters exactly, while the strength of resistance is recoverable only on an interval with a closed-form endpoint.
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BibTeX
@misc{maeda2026optimal,
title = {{Optimal Liquidation with Support and Resistance Levels under Multi-Skew Brownian Motion}},
author = {Jun Maeda},
howpublished = {arXiv},
year = {2026},
month = sep,
doi = {10.48550/arxiv.2609.35063},
eprint = {2609.35063},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2609.35063},
}
RIS
TY - UNPB
TI - Optimal Liquidation with Support and Resistance Levels under Multi-Skew Brownian Motion
AU - Jun Maeda
PY - 2026
DA - 2026/09/28
PB - arXiv
DO - 10.48550/arxiv.2609.35063
UR - https://arxiv.org/abs/2609.35063
AB - We solve the perpetual liquidation problem for a geometric multi-skew Brownian motion carrying local-time pushes upward at a support level and downward at a resistance level, a model of technical analysis that is Markov in the price alone. Three geometries arise, separated by a closed-form criterion: the continuation band lies below resistance, straddles it, or pins its upper edge there. Selling into resistance is a conclusion rather than an assumption. Identification is asymmetric: exercise behaviour determines the support parameters exactly, while the strength of resistance is recoverable only on an interval with a closed-form endpoint.
ER -