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

Conference object, Preprint English OPEN
Fliess, Michel; Join, Cédric;
(2009)
  • Publisher: HAL CCSD
  • Subject: [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | nonstandard analysis | [ 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 | [ QFIN.CP ] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] | [INFO.INFO-CE]Computer Science [cs]/Computational Engineering, Finance, and Science [cs.CE] | [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | [ INFO.INFO-TS ] Computer Science [cs]/Signal and Image Processing | [INFO.INFO-MO]Computer Science [cs]/Modeling and Simulation | [INFO.INFO-AU]Computer Science [cs]/Automatic Control Engineering | alpha | [ QFIN.RM ] Quantitative Finance [q-fin]/Risk Management [q-fin.RM] | nonstandard analysis. | [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM] | [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | beta | trends | nonstandard analysis,Quantitative finance,risk analysis,beta,alpha,trends,technical analysis,estimation techniques,forecasting,abrupt changes,nonstandard analysis. | [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH] | [MATH.MATH-LO]Mathematics [math]/Logic [math.LO] | abrupt changes | [ INFO.INFO-MO ] Computer Science [cs]/Modeling and Simulation | [SPI.SIGNAL]Engineering Sciences [physics]/Signal and Image processing | [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] | forecasting | [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] | [ INFO.INFO-CE ] Computer Science [cs]/Computational Engineering, Finance, and Science [cs.CE] | Quantitative finance | risk analysis | [INFO.INFO-TS]Computer Science [cs]/Signal and Image Processing | [ MATH.MATH-LO ] Mathematics [math]/Logic [math.LO] | technical analysis | [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] | [ STAT.TH ] Statistics [stat]/Statistics Theory [stat.TH] | estimation techniques

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
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