Dans la plupart des pays développés, les marchés financiers ont connu un essor rapide et important entre les années 1970 et 1990, après une longue période où ils ont occupé une place mineure dans le financement de l’économie. Cette phase n’est pas sans précédent, dans la mesure...

L e capitalisme financier est entré dans une crise profonde en 2007. Cette crise, d’abord bancaire et localisée dans le marché du crédit immobilier américain, est rapidement devenue mondiale, financière et réelle. Elle a remis en cause la forte croissance dont bénéficiait...

Le présent article analyse l’efficience du marché des changes. L’article reconsidère la définition originelle de l’efficience au sens de Fama (1965) en mettant en lumière les différentes contradictions internes de cette définition. Partant de là, trois définitions de...

We revisit the index leverage effect, that can be decomposed into a volatility effect and a correlation effect. We investigate the latter using a matrix regression analysis, that we call ‘Principal Regression Analysis’ (PRA) and for which we provide some analytical (using Random Matrix...

Understanding the relationships among multivariate assets would help one greatly about how best to position one’s investments and enhance one’s financial risk protection. We present a new method to model parametrically the dependence structure of stock index returns through a continuous...

We provide a price characterization of efficient contingent claims - that is, chosen by at least a rational agent - in multiperiod economies with market frictions. Frictions include market incompleteness, transaction costs, short-selling, and borrowing costs. We characterize the inefficiency...

This article presents an empirical study of thirteen derivative markets for commodity and financial assets. This paper goes beyond statistical analysis by including the maturity as a variable for futures contracts’s daily returns, from 1998 to 2010 and for delivery dates up to 120 months. We...

We propose a general framework to study the stability of the subspace spanned by P consecutive eigenvectors of a generic symmetric matrix H0 when a small perturbation is added. This problem is relevant in various contexts, including quantum dissipation (H0 is then the Hamiltonian) and financial...

With the increased availability of high-frequency financial market data in recent years, the extraction of “realized” volatility (from intraday squared returns) has led to numerous theoretical developments and empirical applications for a wide range of equity and commodity markets. This...

To prepare for the first Kyoto Protocol commitment period (from 2008 to 2012) it decided to set up a European market for trading carbon dioxide by 2005. The volumes traded on this market and the solidity of its institutional foundation rapidly made it the epicentre of the global carbon market....