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Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique

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Listed:
  • Fredj Jawadi

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Slim Chaouachi

Abstract

Le débat d'actualité concerne la place occupée par les modèles non-linéaires au sein des formalisations des séries financières. Pour justifier la non-linéarité inhérente à la dynamique de ces séries, nous explorons les effets de la microstructure du marché financier et les enseignements de la théorie de finance comportementale (i.e. coûts de transaction, asymétrie d'information, hétérogénéité des intervenants sur le marché, mimétisme). Nous montrons que la présence de coûts de transaction dissuade l'arbitrage, limite les transactions, prive les prix de s'ajuster linéairement et continuellement et induit des déviations des cours asymétriques et persistantes.

Suggested Citation

  • Fredj Jawadi & Slim Chaouachi, 2006. "Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique," Working Papers hal-04138865, HAL.
    • Handle: RePEc:hal:wpaper:hal-04138865
    Note: View the original document on HAL open archive server: https://hal.science/hal-04138865
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    More about this item

    Keywords

    Coûts de transaction; mésalignements de prix; Ajustement non-linéaire; asymétrie et persistance.;
    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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