Systematic and multifactor risk models revisited

Michel Fliess; Cédric Join

Conference papers

Systematic and multifactor risk models revisited

Michel Fliess ^{1, 2} Cédric Join ^{3, 2, 4}

1 LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau]

2 AL.I.E.N. - ALgèbre pour Identification & Estimation Numériques

3 NON-A - Non-Asymptotic estimation for online systems

Inria Lille - Nord Europe, CRIStAL - Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189

4 CRAN - Centre de Recherche en Automatique de Nancy

Abstract : Systematic and multifactor risk models are revisited via methods which were already successfully developed in signal processing and in automatic control. The results, which bypass the usual criticisms on those risk modeling, are illustrated by several successful computer experiments.

keyword : nonstandard analysis market risk multifactor risk beta alpha trend volatility Systematic risk

Document type :

Conference papers

Domain :

Quantitative Finance [q-fin] / Risk Management [q-fin.RM]

Quantitative Finance [q-fin] / Computational Finance [q-fin.CP]

Computer Science [cs] / Computational Engineering, Finance, and Science [cs.CE]

Statistics [stat] / Other Statistics [stat.ML]

Mathematics [math] / Logic [math.LO]

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Cited literature [31 references] Display Hide Download

https://hal-polytechnique.archives-ouvertes.fr/hal-00920175
Contributor : Michel Fliess Connect in order to contact the contributor
Submitted on : Tuesday, December 17, 2013 - 9:45:50 PM
Last modification on : Thursday, January 20, 2022 - 4:16:42 PM
Long-term archiving on: : Tuesday, March 18, 2014 - 5:30:25 AM

Systematic and multifactor risk models revisited

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Systematic and multifactor risk models revisited

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