5 citations · 10 across the 4 of their papers we have counts for
8 papers
Buying at Support: The Entry Problem under Multi-Skew Brownian Motion
Jun Maeda
We study when to buy a share that will later be sold optimally, when the price follows a geometric multi-skew Brownian motion whose skew levels model support and resistance. The re…
Basket implied volatility skew and stickiness
Masaaki Fukasawa, Jun Maeda, Tatsuya Ogiwara
We study the short-maturity implied volatility and the skew stickiness ratio for baskets of assets with continuous, possibly rough, stochastic volatility. The fluctuation of the in…
Optimal Liquidation with Support and Resistance Levels under Multi-Skew Brownian Motion
Jun Maeda
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 mod…
Neural network representation of quantum systems
Koji Hashimoto, Yuji Hirono, Jun Maeda +1
It has been proposed that random wide neural networks near Gaussian process are quantum field theories around Gaussian fixed points. In this paper, we provide a novel map with whic…
The Support and Resistance Line Method: An Analysis via Optimal Stopping
Vicky Henderson, Saul Jacka, Ruiqi Liu +1
We study a mathematical model motivated by the support/resistance line method in technical analysis where the underlying stock price transitions between three states of nature in a…
Evaluation of the Rate of Convergence in the PIA
Jun Maeda, Saul D. Jacka
Folklore says that Howard's Policy Improvement Algorithm converges extraordinarily fast, even for controlled diffusion settings. In a previous paper, we proved that approximations…
An Optimal Stopping Problem Modeling Technical Analysis
Jun Maeda, Saul D. Jacka
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 techni…
A Market Driver Volatility Model via Policy Improvement Algorithm
Jun Maeda, Saul D. Jacka
In the over-the-counter market in derivatives, we sometimes see large numbers of traders taking the same position and risk. When there is this kind of concentration in the market,…