Economy – Quantitative Finance – Computational Finance
Scientific paper
2011-04-12
Economy
Quantitative Finance
Computational Finance
Conf\'erence M\'editerran\'eenne sur l'Ing\'enierie S\^ure des Syst\`emes Complexes, MISC 2011, Agadir : Maroc (2011)
Scientific paper
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.
Fliess Michel
Hatt Frédéric
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