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