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Evolution des cours gouvernee par unprocessus de type ARIMA fractionnaire

Author

Listed:
  • Thao, T.H.
  • Thomas-Agnan, C.

Abstract

Nous proposons un modele approprie de l'evolution deu cours de l'action dans un marche financier ou le prix d'actif a un instant peut influencer a long terme le dynamique du cours. Cet effet de longue memoire ne peut pas etre pris en compte par le modele usuel de Black et Scholes. On precise le bruit par un processus de type ARIMA fractionnaire et on donne une solution asymptotique du modele.

Suggested Citation

  • Thao, T.H. & Thomas-Agnan, C., 2000. "Evolution des cours gouvernee par unprocessus de type ARIMA fractionnaire," Papers 00-541, Toulouse - GREMAQ.
    • Handle: RePEc:fth:gremaq:00-541
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    More about this item

    Keywords

    MODELES ; MARCHE FINANCIER ; LONG TERME;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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