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Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un mod\`ele probabiliste en ing\'enierie financi\`ere ?

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  • Michel Fliess

    (LIX)

  • C\'edric Join

    (CRAN, INRIA Saclay - Ile de France)

  • Fr\'ed\'eric Hatt
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    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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    File URL: http://arxiv.org/pdf/1104.2124
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1104.2124.

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    Date of creation: Apr 2011
    Date of revision: May 2011
    Handle: RePEc:arx:papers:1104.2124

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    Web page: http://arxiv.org/

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    1. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
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