Phénoménologie des marchés financiers : anomalies statistiques à toutes les échelles de temps

Phénoménologie des marchés financiers : anomalies statistiques à toutes les échelles de temps :

  • Modèles descriptifs
  • Volatilité Rugueuse
  • Observations récentes et nouveaux outils statistiques
  • Modèles de Hawkes et QHawkes.

Références

[1] Bachelier, L. (1900). "Théorie de la spéculation". In Annales scientifiques de l'École normale supérieure (vol. 17, p. 21-86).

[2] Black, F., & Scholes, M. (2019). "The Pricing of Options and Corporate Liabilities". In World Scientific Reference on Contingent Claims Analysis in Corporate Finance: Volume 1: Foundations of CCA and Equity Valuation (p. 3-21).

[3] Mandelbrot, B. B. (1997). "The Variation of Certain Speculative Prices". In Fractals and Scaling in Finance (p. 371-418). Springer, New York, NY.

[4] Mandelbrot, B. B. (1974). "Intermittent Turbulence in Self-Similar Cascades: Divergence of High Moments and Dimension of the Carrier". Journal of Fluid Mechanics, 62(2), 331-358.

[5] Frisch, U., & Parisi, G. (1980). "Fully Developed Turbulence and Intermittency". New York Academy of Sciences, Annals, 357, 359-367.

[6] Mandelbrot, B. B., Fisher, A. J., & Calvet, L. E. (1997). "A Multifractal Model of Asset Returns".

[7] Lux, T. (2008). "The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility". Journal of Business & Economic Statistics, 26(2), 194-210.

[8] Bacry, E., Delour, J., & Muzy, J. F. (2001). "Multifractal Random Walk". Physical Review E, 64(2), 026103.

[9] Muzy, J. F., Delour, J., & Bacry, E. (2000). "Modelling Fluctuations of Financial Time Series: From Cascade Process to Stochastic Volatility Model". The European Physical Journal B-Condensed Matter and Complex Systems, 17(3), 537-548.

[10] Mandelbrot, B. B., & Van Ness, J. W. (1968). "Fractional Brownian Motions, Fractional Noises and Applications". SIAM Review, 10(4), 422-437.

[11] Fyodorov, Y. V., & Keating, J. P. (2014). "Freezing Transitions and Extreme Values: Random Matrix Theory, and Disordered Landscapes". Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences, 372(2007), 20120503.

[12] Rhodes, R., & Vargas, V. (2014). "Gaussian Multiplicative Chaos and Applications: A Review". Probability Surveys, 11, 315-392.

[13] Bollerslev, T., Engle, R. F., & Nelson, D. B. (1994). "ARCH Models". Handbook of Econometrics, 4, 2959-3038.

[14] Heston, S. L. (1993). "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options". The Review of Financial Studies, 6(2), 327-343.

[15] Boyer, Jean-Daniel, Jaoul-Grammar, Magali, & Rivot, Sylvie. "The Debate over Grain in the 1750s. A Cliometric Point of View". The European Journal of the History of Economic Thought, 2019, vol. 26, n4, p. 698-737.

[16] Gabaix, X., Gopikrishnan, P., Plerou, V., & Stanley, H. E. (2006). "Institutional Investors and Stock Market Volatility". The Quarterly Journal of Economics, 121(2), 461-504.

[17] Cutler, D. M., Poterba, J. M., & Summers, L. H. (1988). "What Moves Stock Prices?" (No. w2538). National Bureau of Economic Research.

[18] Joulin, A., Lefevre, A., Grunberg, D., & Bouchaud, J. P. (2008). "Stock Price Jumps: News and Volume Play a Minor role". arXiv preprint arXiv:0803.1769; Wilmott Magazine.

[19] Zumbach, G. (2009). "Time Reversal Invariance in Finance". Quantitative Finance, 9(5), 505-515.

[20] Bacry, E., Mastromatteo, I., & Muzy, J. F. (2015). "Hawkes Processes in Finance". Market Microstructure and Liquidity, 1(01), 1550005.

[21] Hardiman, S. J., Bercot, N., & Bouchaud, J. P. (2013). "Critical Reflexivity in Financial Markets: A Hawkes Process Analysis". The European Physical Journal B, 86(10), 1-9.

[22] Blanc, P., Donier, J., & Bouchaud, J. P. (2017). "Quadratic Hawkes Processes for Financial Prices". Quantitative Finance, 17(2), 171-188.

[23] Jaisson, T., & Rosenbaum, M. (2016). "Rough Fractional Diffusions as Scaling Limits of Nearly Unstable Heavy Tailed Hawkes Processes". Annals of Applied Probability, 26(5), 2860-2882.

[24] Gatheral, J., Jaisson, T., & Rosenbaum, M. (2018). "Volatility is Rough". Quantitative Finance, 18(6), 933-949.

[25] Dandapani, A., Jusselin, P., & Rosenbaum, M. (2019). "From Quadratic Hawkes Processes to Super-Heston Rough Volatility Models with Zumbach Effect". arXiv preprint arXiv:1907.06151.