Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique

The debate of actuality concerns room occupied by the nonlinear models within modelling of the financial sets. To justify the nonlinearity inherent to these sets dynamics, we explore effects of the microstructure of the financial market and teachings of the behaviour finance theory (i.e. transaction costs, asymmetry of information, heterogeneity of investors, mimetic). We show that the presence of transaction costs dissuades the arbitration, limits transactions, deprives prices to fit linearly and continually and induces asymmetric deviations course.