Systematic risk analysis: first steps towards a new definition of beta

Michel Fliess and Cédric Join ()
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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, ALIEN - Algebra for Digital Identification and Estimation - Centre Inria de l'Université de Lille - Inria - Institut National de Recherche en Informatique et en Automatique - Centre Inria de Saclay - Inria - Institut National de Recherche en Informatique et en Automatique - Centrale Lille - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Cédric Join: ALIEN - Algebra for Digital Identification and Estimation - Centre Inria de l'Université de Lille - Inria - Institut National de Recherche en Informatique et en Automatique - Centre Inria de Saclay - Inria - Institut National de Recherche en Informatique et en Automatique - Centrale Lille - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, 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

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Abstract: We suggest a new model-free definition of the beta coefficient, which plays an important rôle in systematic risk management. This setting, which is based on the existence of trends for financial time series via nonstandard analysis (Fliess M., Join C.: A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009, online: http://hal.inria.fr/inria-00352834/en/) leads to convincing computer experiments which are easily implementable.

Keywords: nonstandard analysis; Quantitative finance; risk analysis; beta; alpha; trends; technical analysis; estimation techniques; forecasting; abrupt changes; nonstandard analysis. (search for similar items in EconPapers)
Date: 2009-11
Note: View the original document on HAL open archive server: https://inria.hal.science/inria-00425077v1
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Citations: View citations in EconPapers (4)

Published in Cognitive Systems with Interactive Sensors, COGIS'09, SEE, Nov 2009, Paris, France

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