Is a probabilistic modeling really useful in financial engineering?

A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?

Michel Fliess, Cédric Join () and Frédéric Hatt
Additional contact information
Michel Fliess: LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
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 - Centre Inria de l'Université de Lille - Inria - Institut National de Recherche en Informatique et en Automatique - CRIStAL - Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 - Centrale Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique
Frédéric Hatt: Lucid Capital Management - Lucid Capital Management

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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.

Keywords: Quantitative finance; dynamic portfolio management; strategy; time series; trends; volatility; Kalman filters; noise removal; numerical differentiation; nonstandard analysis (search for similar items in EconPapers)
Date: 2011-05-27
New Economics Papers: this item is included in nep-cmp
Note: View the original document on HAL open archive server: https://polytechnique.hal.science/hal-00585152v2
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Published in Conférence Méditerranéenne sur l'Ingénierie Sûre des Systèmes Complexes, MISC 2011, May 2011, Agadir, Maroc

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