Is a probabilistic modeling

8 years 12 days ago
Is a probabilistic modeling
— 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. Mots-cl´es— Finance quantitative, gestion dynamique de portefeuilles, strat´egies, chroniques, tendances, volatilit´e, filtres de Kalman, d´ebruitage, d´erivation num´erique, analyse non standard. Key words— Quantitative finance, dynamic portfolio management, strategy, time series, trends, volatility, Kalman filters, noise removal, numerical differentiation, nonstandard analysis.
Michel Fliess, Cédric Join, Fréd&eac
Added 13 May 2011
Updated 13 May 2011
Type Journal
Year 2011
Where CORR
Authors Michel Fliess, Cédric Join, Frédéric Hatt
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