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A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?

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, Ecole Centrale de Lille, X - École polytechnique, CNRS - Centre National de la Recherche Scientifique : UMR8146
Abstract : A new standpoint on financial time series, without the use of any mathematical model and of probabilistic tools, yields not only a rigorous approach of trends and volatility, but also efficient calculations which were already successfully applied in automatic control and in signal processing. It is based on a theorem due to P. Cartier and Y. Perrin, which was published in 1995. The above results are employed for sketching a dynamical portfolio and strategy management, without any global optimization technique. Numerous computer simulations are presented.
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https://hal-polytechnique.archives-ouvertes.fr/hal-00585152
Contributor : Michel Fliess <>
Submitted on : Monday, April 11, 2011 - 7:43:40 PM
Last modification on : Tuesday, November 24, 2020 - 2:18:21 PM
Long-term archiving on: : Tuesday, July 12, 2011 - 2:55:49 AM

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  • HAL Id : hal-00585152, version 1
  • ARXIV : 1104.2124

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Michel Fliess, Cédric Join, Frédéric Hatt. A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?. Conférence Méditerranéenne sur l'Ingénierie Sûre des Systèmes Complexes, MISC 2011, May 2011, Agadir, Maroc. ⟨hal-00585152v1⟩

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