New Releases by Lin Wang

The subject matter of this paper concerns the natural price barriers that markets encounter. The ideas in this paper can be applied to any market: equity, commodity, currency or fixed income. It is common market experience that prices (or yields) exhibit resistance and support: at key levels there is a tendency for prices to show difficulty in progressing further, something which is not explained by popular random walk models. Some resistance and support prices are very strong while some are weak. If the resistance price or the support price is not strong, then the market price might go through this key level. If the resistance or the support is very strong, then the market price might simply be reflected back. We give examples of modeling support and resistance levels. We show how it is possible for the random behaviour of prices to behave almost like a lognormal random walk (say for stock prices) and yet for there to be a far richer structure for the asset price behaviour over small scale movements.