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

Michel Fliess; Cédric Join

inria-00425077, version 1

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

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

Cognitive Systems with Interactive Sensors (COGIS'09) (2009)

Résumé : 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.

1 : Laboratoire d'informatique de l'école polytechnique (LIX)
CNRS : UMR7161 – Polytechnique - X
2 : ALIEN (INRIA Saclay - Ile de France/Inria Lille - Nord Europe)
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-00425077, version 1
http://hal.inria.fr/inria-00425077
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Contributeur : Michel Fliess <>
Soumis le : Lundi 19 Octobre 2009, 21:59:23
Dernière modification le : Mardi 20 Octobre 2009, 07:48:04

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