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1 LIX - Laboratoire d-informatique de l-École polytechnique Palaiseau 2 ALIEN - Algebra for Digital Identification and Estimation Inria Lille - Nord Europe, Inria Saclay - Ile de France, Ecole Centrale de Lille, Polytechnique - X, CNRS - Centre National de la Recherche Scientifique : UMR8146 3 CRAN - Centre de Recherche en Automatique de Nancy

Abstract : 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: leads to convincing computer experiments which are easily implementable.

Keywords : nonstandard analysis Quantitative finance risk analysis beta alpha trends technical analysis estimation techniques forecasting abrupt changes nonstandard analysis.

Author: Michel Fliess - Cédric Join -



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