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| HAL: inria-00425077, version 1 |
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| Cognitive Systems with Interactive Sensors (COGIS'09), PARIS : France (2009) |
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| Systematic risk analysis: first steps towards a new definition of beta |
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| Michel Fliess 1, 2Cédric Join 2, 3 |
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| (2009) |
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| 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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| 1: | Laboratoire d'informatique de l'école polytechnique (LIX) |
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CNRS : UMR7161 – Polytechnique - X |
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| 2: | ALIEN (INRIA Saclay - Ile de France/Inria Lille - Nord Europe) |
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INRIA – Polytechnique - X – Ecole Centrale de Lille – CNRS : UMR8146 |
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| 3: | Centre de recherche en automatique de Nancy (CRAN) |
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CNRS : UMR7039 – Université Henri Poincaré - Nancy I – Institut National Polytechnique de Lorraine (INPL) |
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| Domain | : | Quantitative Finance/Computational Finance Quantitative Finance/Portfolio Management Quantitative Finance/Risk Management Mathematics/Probability Mathematics/Statistics Statistics/Statistics Theory Mathematics/Logic Computer Science/Computational Engineering, Finance, and Science Computer Science/Modeling and Simulation Computer Science/Automatic Control Engineering Computer Science/Signal and Image Processing Engineering Sciences/Signal and Image processing |
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| Quantitative finance – risk analysis – beta – alpha – trends – technical analysis – estimation techniques – forecasting – abrupt changes – nonstandard analysis. |
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| inria-00425077, version 1 | |
| http://hal.inria.fr/inria-00425077 | |
| oai:hal.inria.fr:inria-00425077 | |
| From: Michel Fliess | |
| Submitted on: Monday, 19 October 2009 21:59:23 | |
| Updated on: Tuesday, 20 October 2009 07:48:04 | |
