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Is a probabilistic modeling really useful in financial engineering? --- A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?

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Author Info

  • Michel Fliess

    ()
    (LIX - Laboratoire d'informatique de l'école polytechnique - CNRS : UMR7161 - Polytechnique - X)

  • Cédric Join

    (CRAN - Centre de recherche en automatique de Nancy - CNRS : UMR7039 - Université Henri Poincaré - Nancy I - Institut National Polytechnique de Lorraine (INPL), INRIA Lille - Nord Europe - Non-A - INRIA : LILLE - NORD EUROPE)

  • Frédéric Hatt

    (Lucid Capital Management - Lucid Capital Management)

Registered author(s):

    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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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number hal-00585152.

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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
    Handle: RePEc:hal:journl:hal-00585152

    Note: View the original document on HAL open archive server: http://hal-polytechnique.archives-ouvertes.fr/hal-00585152
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    Web page: http://hal.archives-ouvertes.fr/

    Related research

    Keywords: Quantitative finance; dynamic portfolio management; strategy; time series; trends; volatility; Kalman filters; noise removal; numerical differentiation; nonstandard analysis;

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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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