Is a probabilistic modeling

— 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. Mots-cl´es— Finance quantitative, gestion dynamique de portefeuilles, strat´egies, chroniques, tendances, volatilit´e, filtres de Kalman, d´ebruitage, d´erivation num´erique, analyse non standard. Key words— Quantitative finance, dynamic portfolio management, strategy, time series, trends, volatility, Kalman filters, noise removal, numerical differentiation, nonstandard analysis.

• Type: Journal
• Year: 2011
• Where: CORR
• Authors: Michel Fliess, Cédric Join, Frédéric Hatt
• Keywords: CORR 2011, Education, Time Series, Words— Quantitative finance, financial Time Series