HAL - INRIA :: [inria-00352834, version 1] A mathematical proof of the existence of trends in financial time series

inria-00352834, version 1

A mathematical proof of the existence of trends in financial time series

Michel Fliess () ^1, 2, Cédric Join () ^2, 3

Systems Theory: Modelling, Analysis and Control (2009) 43-62

Résumé : We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in the language of nonstandard analysis (Integration over finite sets, F. & M. Diener (Eds): Nonstandard Analysis in Practice, Springer, 1995, pp. 195--204). Those trends, which might coexist with some altered random walk paradigm and efficient market hypothesis, seem nevertheless difficult to reconcile with the celebrated Black-Scholes model. They are estimated via recent techniques stemming from control and signal theory. Several quite convincing computer simulations on the forecast of various financial quantities are depicted. We conclude by discussing the rôle of probability theory.

1 : Laboratoire d'informatique de l'école polytechnique (LIX)
CNRS : UMR7161 – Polytechnique - X
2 : ALIEN (INRIA Saclay - Ile de France)
INRIA – Polytechnique - X – Ecole Centrale de Lille – CNRS : UMR8146
3 : Centre de recherche en automatique de Nancy (CRAN)
CNRS : UMR7039 – Université Henri Poincaré - Nancy I – Institut National Polytechnique de Lorraine (INPL)

inria-00352834, version 1
http://hal.inria.fr/inria-00352834
oai:hal.inria.fr:inria-00352834
Contributeur : Michel Fliess <>
Soumis le : Mercredi 14 Janvier 2009, 08:12:29
Dernière modification le : Lundi 1 Juin 2009, 00:34:00

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arXiv : 0901.1945

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