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; Frédéric Hatt

hal-00585152, version 2

Is a probabilistic modeling really useful in financial engineering?
---
A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?

Michel Fliess () ¹, Cédric Join ^2, 3, Frédéric Hatt ⁴

Conférence Méditerranéenne sur l'Ingénierie Sûre des Systèmes Complexes, MISC 2011 (2011)

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.

1: Laboratoire d'informatique de l'école polytechnique (LIX)
CNRS : UMR7161 – Polytechnique - X
2: Centre de recherche en automatique de Nancy (CRAN)
CNRS : UMR7039 – Université Henri Poincaré - Nancy I – Institut National Polytechnique de Lorraine (INPL)
3: Non-A (INRIA Lille - Nord Europe)
INRIA : LILLE - NORD EUROPE
4: Lucid Capital Management
Lucid Capital Management

hal-00585152, version 2
http://hal-polytechnique.archives-ouvertes.fr/hal-00585152
oai:hal-polytechnique.archives-ouvertes.fr:hal-00585152
From: Michel Fliess <>
Submitted on: Monday, 9 May 2011 00:18:28
Updated on: Friday, 18 January 2013 16:44:26

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arXiv: 1104.2124

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