Systematic risk analysis: first steps towards a new definition of beta

Conference object, Preprint English OPEN
Michel Fliess; Cédric Join;
  • Publisher: HAL CCSD
  • Subject: [MATH.MATH-LO]Mathematics [math]/Logic [math.LO] | abrupt changes | [SPI.SIGNAL]Engineering Sciences [physics]/Signal and Image processing | [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] | forecasting | nonstandard analysis | [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] | [INFO.INFO-CE]Computer Science [cs]/Computational Engineering, Finance, and Science [cs.CE] | risk analysis | Quantitative finance | [INFO.INFO-MO]Computer Science [cs]/Modeling and Simulation | [INFO.INFO-TS]Computer Science [cs]/Signal and Image Processing | [INFO.INFO-AU]Computer Science [cs]/Automatic Control Engineering | technical analysis | alpha | [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] | nonstandard analysis. | estimation techniques | [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM] | [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | nonstandard analysis,Quantitative finance,risk analysis,beta,alpha,trends,technical analysis,estimation techniques,forecasting,abrupt changes,nonstandard analysis. | trends | beta | [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH]

International audience; We suggest a new model-free definition of the beta coefficient, which plays an important rôle in systematic risk management. This setting, which is based on the existence of trends for financial time series via nonstandard analysis (Fliess M., Jo... View more
  • References (25)
    25 references, page 1 of 3

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