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

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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Contributor : Michel Fliess <>
Submitted on : Monday, May 9, 2011 - 12:18:28 AM
Last modification on : Wednesday, March 27, 2019 - 4:41:27 PM
Long-term archiving on : Wednesday, August 10, 2011 - 2:36:16 AM

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  • HAL Id : hal-00585152, version 2
  • 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-00585152v2⟩

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