Les cours d'actifs financiers sont-ils autosimilaires ?

Jean-Marc Bardet

Journal de la société française de statistique (2000)

  • Volume: 141, Issue: 1-2, page 137-148
  • ISSN: 1962-5197

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Bardet, Jean-Marc. "Les cours d'actifs financiers sont-ils autosimilaires ?." Journal de la société française de statistique 141.1-2 (2000): 137-148. <http://eudml.org/doc/199851>.

@article{Bardet2000,
author = {Bardet, Jean-Marc},
journal = {Journal de la société française de statistique},
language = {fre},
number = {1-2},
pages = {137-148},
publisher = {Société française de statistique},
title = {Les cours d'actifs financiers sont-ils autosimilaires ?},
url = {http://eudml.org/doc/199851},
volume = {141},
year = {2000},
}

TY - JOUR
AU - Bardet, Jean-Marc
TI - Les cours d'actifs financiers sont-ils autosimilaires ?
JO - Journal de la société française de statistique
PY - 2000
PB - Société française de statistique
VL - 141
IS - 1-2
SP - 137
EP - 148
LA - fre
UR - http://eudml.org/doc/199851
ER -

References

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  8. [8] JULIA, G. [ 1918]. Sur l'itération des fonctions rationnelles. J. Math. Pure Appl. 8, 47-245. Zbl46.0520.06JFM46.0520.06
  9. [9] KOLMOGOROV, A.N. [ 1940]. Wienersche Spiralen und einige andere interessante Kurven in Hilbertschen Raum. Doklady 26, 115-118. Zbl0022.36001MR3441JFM66.0552.03
  10. [10] MAJOR, P. [ 1982]. On renormalization Gaussian fields. Z. Wahrsch. Verw. Gebiete 59, 515-533. Zbl0484.60016MR656514
  11. [11] MANDELBROT, B. B. [ 1997] Fractals and scaling in finance. Discontinuity, concentration, risk. Selecta Volume E. Springer-Verlag, New York. Zbl1005.91001MR1475217
  12. [12] ROGERS, L. [ 1997]. Arbitrage with fractional Brownian motion. Math. Finance 7, 1-14. Zbl0884.90045MR1434408
  13. [13] SAMORODNITSKY, G. et TAQQU, M.S. [ 1994]. Stable non- Gaussian random processes. Stochastic modeling. Chapman &, Hall, 636 p. Zbl0925.60027MR1280932
  14. [14] TAQQU, M.S. [ 1979]. Convergence of integrated processes of arbitrary Hermite rank. Z. Wahrsch. Verw. Gebiete 50, 53-83. Zbl0397.60028MR550123
  15. [15] TAQQU, M.S., WILLINGER W., SHERMAN R. [ 1997]. Proof of a fundamental result in self-similar traffic modeling. Computer Comm. Rev., 27, 5-23. 

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