Is a probabilistic modeling really useful in financial engineering? --- A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?
AbstractA 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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Date of creation: 27 May 2011
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Publication status: Published - Presented, Conférence Méditerranéenne sur l'Ingénierie Sûre des Systèmes Complexes, MISC 2011, 2011, Agadir, Morocco
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Quantitative finance; dynamic portfolio management; strategy; time series; trends; volatility; Kalman filters; noise removal; numerical differentiation; nonstandard analysis;
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- William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
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