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

Conference object, Preprint OPEN
Michel Fliess; Cédric Join; Frédéric Hatt;
(2011)
  • Publisher: HAL CCSD
  • Subject: [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | Kalman filters | nonstandard analysis | [ INFO.INFO-AU ] Computer Science [cs]/Automatic Control Engineering | [STAT.ME]Statistics [stat]/Methodology [stat.ME] | volatility | JEL: G - Financial Economics | [ MATH.MATH-ST ] Mathematics [math]/Statistics [math.ST] | [ SPI.SIGNAL ] Engineering Sciences [physics]/Signal and Image processing | JEL: C - Mathematical and Quantitative Methods | [ QFIN.CP ] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] | [INFO.INFO-CE]Computer Science [cs]/Computational Engineering, Finance, and Science [cs.CE] | [ STAT.ME ] Statistics [stat]/Methodology [stat.ME] | [ INFO.INFO-TS ] Computer Science [cs]/Signal and Image Processing | [INFO.INFO-AU]Computer Science [cs]/Automatic Control Engineering | Quantitative finance,dynamic portfolio management,strategy,time series,trends,volatility,Kalman filters,noise removal,numerical differentiation,nonstandard analysis | [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | trends | [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH] | [MATH.MATH-LO]Mathematics [math]/Logic [math.LO] | dynamic portfolio management | JEL : G - Financial Economics | [SPI.SIGNAL]Engineering Sciences [physics]/Signal and Image processing | [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] | JEL : C - Mathematical and Quantitative Methods | time series | [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 | numerical differentiation | [INFO.INFO-TS]Computer Science [cs]/Signal and Image Processing | [ MATH.MATH-LO ] Mathematics [math]/Logic [math.LO] | [ STAT.TH ] Statistics [stat]/Statistics Theory [stat.TH] | strategy | noise removal

International audience; 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... View more
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