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Incertitude, arbitrage et taux de change

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  • Jean-Laurent Viviani

Abstract

[fre] Incertitude, arbitrage et taux de change par Jean-Laurent Viviani . Sans nier la pertinence des explications proposées de l'existence de fourchettes de prix sur les marchés financiers, nous montrons qu'elles pourraient également être la conséquence du comportement rationnel des agents dans un environnement non probabilisable. Dans ce cadre, l'aversion des agents à l'incertitude est à l'origine d'un écart entre le prix offert et demandé qui est compatible avec l'absence d'opportunités d'arbitrage. [eng] Uncertainty, Trade-Off and Exchange Rates by Jean Laurent Viviani . Although we do not deny the pertinence of the explanations put forward for the existence of price brackets on the financial markets, we show that they could also be due to agents' rational behaviour in an environment to which probability cannot be applied. In this context, the aversion of agents to uncertainty is behind a difference between the purchase and sale price, which is compatible with the absence of trade-off opportunities.

Suggested Citation

  • Jean-Laurent Viviani, 1996. "Incertitude, arbitrage et taux de change," Économie et Prévision, Programme National Persée, vol. 123(2), pages 223-228.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5801
    DOI: 10.3406/ecop.1996.5801
    Note: DOI:10.3406/ecop.1996.5801
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    References listed on IDEAS

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