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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 resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of foreign exchange rates, via a "model-free" setting,...

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

A mathematical proof of the existence of trends in financial time series

Fliess, Michel; Join, Cédric - HAL - 2009

We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in the language of nonstandard analysis (Integration over finite sets, F. & M. Diener (Eds):...

Persistent link: https://www.econbiz.de/10008792433

Pivotal estimation in high-dimensional regression via linear programming

Gautier, Eric; Tsybakov, Alexandre - HAL - 2013

distributional assumptions including heteroscedasticity, and does not require the knowledge of the variance of random errors. The …

Persistent link: https://www.econbiz.de/10010821466

Earnings forecast bias - a statistical analysis

Michalon, Karine; Lardic, Sandrine; Dossou, François - HAL - 2005

well-known phenomenon, namely the existence of a positive bias in experts' anticipations: the latter tend to over …-estimate earnings. In this paper, we study the properties of this bias according to various aspects, that is to say according to country …

Persistent link: https://www.econbiz.de/10008788892

Biased  Information  and  Effort

Rosaz, Julie - HAL - 2012

information at the principal's advantage, we test experimentally the principal's willingness to bias (overestimate or under …) principals do bias information, ii) agents trust the cheap-talk messages they receive and adjust their effort accordingly …

Persistent link: https://www.econbiz.de/10008790485

Can earnings forecasts be improved by taking into account the forecast bias?

Dossou, François; Lardic, Sandrine; Michalon, Karine - HAL - 2008

The recent period has highlighted a well-known phenomenon, namely the existence of a positive bias in experts … contributions are twofold: we provide explanatory bias prediction models which will subsequently allow the calculation of earnings … adjusted forecasts, for horizons from 1 to 24 months. We explain the bias using macroeconomic as well as sector and firm …

Persistent link: https://www.econbiz.de/10008792953

Chaos in economics and finance

Guegan, Dominique - HAL - 2007

In this article, we specify the different approaches followed by the economists and the financial economists in order to use chaos theory. We explain the main difference using this theory with other research domains like the mathematics and the physics. Finally, we present tools necessary for...

Persistent link: https://www.econbiz.de/10010738474

Chaos in Economics and Finance

Guegan, Dominique - HAL - 2009

This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be...

Persistent link: https://www.econbiz.de/10010738625

A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates

Guegan, Dominique - HAL - 2003

We investigate some statistical properties of the new k-factor Gegenbauer process with heteroscedastic noises One of the goals of the paper is to give tools which permit to use this model to explain the behaviour of certain data sets in finance and in macroeconomics. Monte Carlo experiments are...

Persistent link: https://www.econbiz.de/10008788958

Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices

Guegan, Dominique; Ladoucette, Sophie A. - HAL - 2005

Using Archimedean copulas, we investigate the dependence structure existing between several series of financial assets log-returns that come from different markets. These series are considered as components of a portfolio and they are investigated on a long period including high shocks. To...

Persistent link: https://www.econbiz.de/10008791451