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Conference papers

Volatility made observable at last

Michel Fliess 1 Cédric Join 2, 3 Frédéric Hatt 4 
3 ALIEN - Algebra for Digital Identification and Estimation
Inria Lille - Nord Europe, Inria Saclay - Ile de France, Centrale Lille, X - École polytechnique, CNRS - Centre National de la Recherche Scientifique : UMR8146
Abstract : The Cartier-Perrin theorem, which was published in 1995 and is expressed in the language of nonstandard analysis, permits, for the first time perhaps, a clear-cut mathematical definition of the volatility of a financial asset. It yields as a byproduct a new understanding of the means of returns, of the beta coefficient, and of the Sharpe and Treynor ratios. New estimation techniques from automatic control and signal processing, which were already successfully applied in quantitative finance, lead to several computer experiments with some quite convincing forecasts.
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Submitted on : Thursday, February 3, 2011 - 2:23:20 PM
Last modification on : Friday, February 4, 2022 - 3:17:29 AM
Long-term archiving on: : Wednesday, May 4, 2011 - 3:07:02 AM


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  • HAL Id : hal-00562488, version 1
  • ARXIV : 1102.0683



Michel Fliess, Cédric Join, Frédéric Hatt. Volatility made observable at last. 3èmes Journées Identification et Modélisation Expérimentale, JIME'2011, Apr 2011, Douai, France. pp.CDROM. ⟨hal-00562488⟩



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