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

Michel Fliess 1, 2 Cédric Join 2, 3
2 ALIEN - Algebra for Digital Identification and Estimation
Inria Lille - Nord Europe, Inria Saclay - Ile de France, Ecole Centrale de Lille, X - École polytechnique, CNRS - Centre National de la Recherche Scientifique : UMR8146
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.
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Submitted on : Monday, October 19, 2009 - 9:59:23 PM
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Michel Fliess, Cédric Join. Systematic risk analysis: first steps towards a new definition of beta. Cognitive Systems with Interactive Sensors (COGIS'09), SEE, Nov 2009, PARIS, France. ⟨inria-00425077⟩

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