IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00585152.html
   My bibliography  Save this paper

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

Author

Listed:
  • Michel Fliess

    () (LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau] - CNRS - Centre National de la Recherche Scientifique - X - École polytechnique)

  • Cédric Join

    (CRAN - Centre de Recherche en Automatique de Nancy - UHP - Université Henri Poincaré - Nancy 1 - INPL - Institut National Polytechnique de Lorraine - CNRS - Centre National de la Recherche Scientifique, NON-A - Non-Asymptotic estimation for online systems - Inria Lille - Nord Europe - Inria - Institut National de Recherche en Informatique et en Automatique - CRIStAL - Centre de Recherche en Informatique, Signal et Automatique de Lille (CRIStAL) - UMR 9189 - Ecole Centrale de Lille - Inria - Institut National de Recherche en Informatique et en Automatique - Institut Mines-Télécom [Paris] - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

  • Frédéric Hatt

    (Lucid Capital Management - Lucid Capital Management)

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.

Suggested Citation

  • Michel Fliess & Cédric Join & Frédéric Hatt, 2011. "Is a probabilistic modeling really useful in financial engineering?
    [A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?]
    ," Post-Print hal-00585152, HAL.
  • Handle: RePEc:hal:journl:hal-00585152
    Note: View the original document on HAL open archive server: https://hal-polytechnique.archives-ouvertes.fr/hal-00585152v2
    as

    Download full text from publisher

    File URL: https://hal-polytechnique.archives-ouvertes.fr/hal-00585152v2/document
    Download Restriction: no

    References listed on IDEAS

    as
    1. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119-119.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00585152. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.