A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ? - École polytechnique Access content directly
Conference Papers Year : 2011

Is a probabilistic modeling really useful in financial engineering?

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

Abstract

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 in automatic control and in signal processing. It is based on a theorem due to P. Cartier and Y. Perrin, which was published in 1995. The above results are employed for sketching a dynamical portfolio and strategy management, without any global optimization technique. Numerous computer simulations are presented.
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Dates and versions

hal-00585152 , version 1 (11-04-2011)
hal-00585152 , version 2 (09-05-2011)

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Cite

Michel Fliess, Cédric Join, Frédéric Hatt. A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?. Conférence Méditerranéenne sur l'Ingénierie Sûre des Systèmes Complexes, MISC 2011, May 2011, Agadir, Maroc. ⟨hal-00585152v2⟩
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