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Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance

Fliess, Michel; Join, Cédric - HAL - 2008

New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some … of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential …

Persistent link: https://www.econbiz.de/10008791958

A re-visit to Minsky after 2007 financial meltdown

Ghani, Shazia - HAL - 2011

The 2007 financial crises has brought to eminence and a long overdue recognition to the ideas of Hyman P. Minsky who is a post-Keynesian authority on monetary theory and financial institutions. He had extensively studied the economic fluctuations and recurring instability of the financial system...

Persistent link: https://www.econbiz.de/10010820974

Value-Relevance of the Outside Corporate Governance Information: a Canadian Study

Berthelot, Sylvie; Morris, Tania - HAL - 2008

This study examines whether the corporate governance rankings published by The Globe and Mail, a reputed national Canadian newspaper, are reflected in the values that investors accord to firms. A sample of 796 observations on 289 Canadian companies from 2002-2005 inclusively was analyzed using a...

Persistent link: https://www.econbiz.de/10008792967

Performance, competition and the dynamics of rules: the case of a financial market

Revest, Valérie - HAL - 2006

This article explores the issue of the failure of the French New Market, a French Financial market, in the light of the dynamics of organisational rules between 1996 and 2005. The French New Market (FNM) was created in 1996 in order to finance European growing firms. After its creation, this...

Persistent link: https://www.econbiz.de/10008793131

Credit constraints and the cyclicality of R&D investment: Evidence from France

Aghion, Philippe; Askenazy, Philippe; Berman, Nicolas; … - HAL - 2008

&D investment and productivity growth are more negatively correlated with sales volatility in more credit constrained firms. …

Persistent link: https://www.econbiz.de/10010930234

Financial Markets Equilibrium with Heterogeneous Agents

Cvitanic, Jaksa; Jouini, Elyès; Malamud, Semyon; Napp, … - HAL - 2012

market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as …

Persistent link: https://www.econbiz.de/10009360288

Fire Sales Forensics: Measuring Endogenous Risk

Cont, Rama; Wagalath, Lakshithe - HAL - 2012

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large … our estimation methodology with two empirical examples: the hedge fund losses of August 2007 and the Great Deleveraging …

Persistent link: https://www.econbiz.de/10010548433

Preliminary remarks on option pricing and dynamic hedging

Fliess, Michel; Join, Cédric - HAL - 2012

An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate problems related to violent behaviors of the underlying,...

Persistent link: https://www.econbiz.de/10010551681

The rationality of expectations formation and excess volatility

Davila, Julio - HAL - 2008

with limited memory, then there are rationally formed expectations equilibria exhibiting an excess volatility that no … one from a positive viewpoint, this result suggests that the possibility of excess volatility as an equilibrium phenomenon …

Persistent link: https://www.econbiz.de/10010750627

A multi-horizon scale for volatility

Subbotin, Alexander - HAL - 2008

We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …

Persistent link: https://www.econbiz.de/10010750636