25.06.2013 Views

statistique, théorie et gestion de portefeuille - Docs at ISFA

statistique, théorie et gestion de portefeuille - Docs at ISFA

statistique, théorie et gestion de portefeuille - Docs at ISFA

SHOW MORE
SHOW LESS

Create successful ePaper yourself

Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.

A Corcos <strong>et</strong> al Q UANTITATIVE F INANCE<br />

Galam S 1997 R<strong>at</strong>ional group <strong>de</strong>cision making: a random field Ising<br />

mo<strong>de</strong>l <strong>at</strong> T = 0 Physica A 238 66–80<br />

Galam S and Moscovici S 1991 Towards a theory of collective<br />

phenomena: consensus and <strong>at</strong>titu<strong>de</strong> changes in groups Eur. J.<br />

Social Psy. 21 49–74<br />

Goldberg J and von Nitzsch R 2001 (transl<strong>at</strong>ed Morris A)<br />

Behavioural Finance (Chichester: Wiley)<br />

Graham B and Dodd D L 1934 Security Analysis 1st edn (New<br />

York: McGraw-Hill)<br />

Grandmont J-P 1985 On endogenous comp<strong>et</strong>itive business cycles<br />

Econom<strong>et</strong>rica 53 995–1045<br />

Grandmont J-P 1987 Nonlinear Economic Dynamics (New York:<br />

Aca<strong>de</strong>mic)<br />

Grandmont J-P and Malgrange P 1986 Nonlinear economic<br />

dynamics: introduction J. Econ. Theory 40 3–11<br />

Grossman S J 1977 The existence of future mark<strong>et</strong>s, noisy r<strong>at</strong>ional<br />

expect<strong>at</strong>ions and inform<strong>at</strong>ional externalities Rev. Econ. Studies<br />

44 431–49<br />

Grossman S J 1981 An introduction to the theory of r<strong>at</strong>ional<br />

expect<strong>at</strong>ions un<strong>de</strong>r asymm<strong>et</strong>ric inform<strong>at</strong>ion Rev. Econ. Studies<br />

48 541–59<br />

Grossman S J and Shiller R J 1981 The d<strong>et</strong>erminants of the<br />

variability of stock mark<strong>et</strong> prices Am. Econ. Rev. 71 222–7<br />

Grossman S J and Stiglitz J 1980 The impossibility of<br />

inform<strong>at</strong>ionally efficient mark<strong>et</strong>s Am. Econ. Rev. 70 393–408<br />

Hellthaler T 1995 The influence of investor number on a<br />

microscopic mark<strong>et</strong> mo<strong>de</strong>l J. Mod. Phys. C 6 845–52<br />

Hsieh D 1989 Testing for nonlinearity in daily foreign exchange r<strong>at</strong>e<br />

changes J. Business 62 339–68<br />

Hsieh D 1991 Chaos and nonlinear dynamics: applic<strong>at</strong>ion to<br />

financial mark<strong>et</strong>s J. Finance 46 1839–77<br />

Hsieh D 1992 Implic<strong>at</strong>ions of nonlinear dynamics for financial risk<br />

management Workshop on Nonlinear Dynamics in Economics,<br />

July European University Institute<br />

Hsieh D and LeBaron B 1988 Finite sample properties of the BDS<br />

st<strong>at</strong>istics Working Paper University of Chicago and University<br />

of Wisconsin<br />

Huang Z-F and Solomon S 2001 Finite mark<strong>et</strong> size as a source of<br />

extreme wealth inequality and mark<strong>et</strong> instability Physica A 294<br />

503–13<br />

I<strong>de</strong> K and Sorn<strong>et</strong>te D 2001 Oscill<strong>at</strong>ory finite-time singularities in<br />

finance, popul<strong>at</strong>ion and rupture Preprint<br />

http://arXiv.org/abs/cond-m<strong>at</strong>/0106047<br />

Jefferies P, Hart M L, Hui P M and Johnson N F 2001 From mark<strong>et</strong><br />

games to real-world mark<strong>et</strong>s, Eur. Phys. J. B 20 493–501<br />

Jevons S 1871 Theory of Political Economy (Pelican Classics)<br />

Johansen A, Ledoit O and Sorn<strong>et</strong>te D 2000 Crashes as critical points<br />

Int. J. Theor. Appl. Finance 3 219–55<br />

Johansen A and Sorn<strong>et</strong>te D 1999 Critical crashes Risk 12 91–4<br />

Johansen A and Sorn<strong>et</strong>te D 2000 The Nasdaq crash of April 2000:<br />

y<strong>et</strong> another example of log-periodicity in a specul<strong>at</strong>ive bubble<br />

ending in a crash Eur. Phys. J. B 17 319–28<br />

Johansen A and Sorn<strong>et</strong>te D 2001 Large stock mark<strong>et</strong> price<br />

drawdowns are outliers J. Risk (Preprint<br />

http://arXiv.org/abs/cond-m<strong>at</strong>/0010050) <strong>at</strong> press<br />

Johansen A, Sorn<strong>et</strong>te D and Ledoit O 1999 Predicting financial<br />

crashes using discr<strong>et</strong>e scale invariance J. Risk 1 5–32<br />

Keynes J M 1936 The General Theory of Employment, Interest and<br />

Money (London: McMillan)<br />

Kim G W and Markowitz H M 1989 J. Portfolio Management 16 45<br />

Kreps D 1977 Fulfilled expect<strong>at</strong>ions equilibria J. Econ. Theory 14<br />

32–43<br />

Laherrère J and Sorn<strong>et</strong>te D 1998 Str<strong>et</strong>ched exponential distributions<br />

in n<strong>at</strong>ure and economy: ‘f<strong>at</strong> tails’ with characteristic scales<br />

Eur. Phys. J. B 2 525–39<br />

LeBaron B 1988 The changing structure of stock r<strong>et</strong>urns Working<br />

Paper University of Wisconsin<br />

Levy M, Levy H and Solomon S 1995 Microscopic simul<strong>at</strong>ion of<br />

the stock mark<strong>et</strong>—the effect of microscopic diversity J.<br />

280<br />

177<br />

Physique I 5 1087–107<br />

Levy M, Levy H and Solomon S 2000 The Microscopic Simul<strong>at</strong>ion<br />

of Financial Mark<strong>et</strong>s: from Investor Behaviour to Mark<strong>et</strong><br />

Phenomena (San Diego, CA: Aca<strong>de</strong>mic)<br />

Lo A W and MacKinlay A C 1999 A Non-Random Walk down Wall<br />

Stre<strong>et</strong> (Princ<strong>et</strong>on, NJ: Princ<strong>et</strong>on University Press)<br />

Lorenz E 1963 D<strong>et</strong>erministic nonperiodic flow J. Atmos. Sci. 20<br />

130–41<br />

Lux L 1996 The stable Par<strong>et</strong>ian hypothesis and the frequency of<br />

large r<strong>et</strong>urns: an examin<strong>at</strong>ion of major German stocks Appl.<br />

Financial Economics 6 463–75<br />

Lux T and Marchesi M 1999 Scaling and criticality in a stochastic<br />

multi-agent mo<strong>de</strong>l of a financial mark<strong>et</strong> N<strong>at</strong>ure 297 498–500<br />

Manneville P 1991 Structures Dissip<strong>at</strong>ives, Chaos <strong>et</strong> Turbulence<br />

(Saclay: CEA)<br />

Maug E and Naik N 1995 Herding and <strong>de</strong>leg<strong>at</strong>ed portfolio<br />

management: the impact of rel<strong>at</strong>ive performance evalu<strong>at</strong>ion on<br />

ass<strong>et</strong> alloc<strong>at</strong>ion Working Paper Duke University<br />

May R 1976 Simple m<strong>at</strong>hem<strong>at</strong>ical mo<strong>de</strong>ls with very complic<strong>at</strong>ed<br />

dynamics N<strong>at</strong>ure 261 459–67<br />

Müller U A, Dacorogna M M, Davé R, Olsen R B, Pict<strong>et</strong> OVand<br />

von Weizsäcker J E 1997 Vol<strong>at</strong>ilities of different time<br />

resolutions-analyzing the dynamics of mark<strong>et</strong> components J.<br />

Empirical Finance 4 213–40<br />

Muth J 1961 R<strong>at</strong>ional expect<strong>at</strong>ions and the theory of price<br />

movements Econom<strong>et</strong>rica 29 315–25<br />

Muzy J-F, Sorn<strong>et</strong>te D, Delour J and Arneodo A 2001 Multifractal<br />

r<strong>et</strong>urns and hierarchical portfolio theory Quantit<strong>at</strong>ive Finance<br />

1 131–s48<br />

Orléan A 1986 Mimétisme <strong>et</strong> anticip<strong>at</strong>ions r<strong>at</strong>ionnelles: perspectives<br />

keynésiennes Recherches Economiques <strong>de</strong> Louvain 52 45–66<br />

Orléan A 1989 Comportements mimétiques <strong>et</strong> diversité <strong>de</strong>s opinions<br />

sur les marchés financiers Théorie Economique <strong>et</strong> Crise <strong>de</strong>s<br />

Marchés Financiers ed H Bourguin<strong>at</strong> and P Artus (Paris:<br />

Economica) pp 45–65<br />

Orléan A 1990 Le rôle <strong>de</strong>s influences interpersonnelles dans la<br />

détermin<strong>at</strong>ion <strong>de</strong>s cours boursiers Rev. Economique 41 839–68<br />

Orléan A 1992 Contagion <strong>de</strong>s opinions <strong>et</strong> fonctionnement <strong>de</strong>s<br />

marchés financiers Rev. Economique 43 685–97<br />

Pagan A 1996 The econom<strong>et</strong>rics of financial mark<strong>et</strong>s J. Empirical<br />

Finance 3 15–102<br />

Pan<strong>de</strong>y R B and Stauffer D 2000 Search for log-periodicity<br />

oscill<strong>at</strong>ions in stock mark<strong>et</strong> simul<strong>at</strong>ions Int. Theor. Appl.<br />

Finance 3 479–82<br />

Plerou V, Gopikrishnan P, AmaralLAN,MeyerMandStanley H E<br />

1999 Scaling of distribution of price fluctu<strong>at</strong>ions of individual<br />

companies Phys. Rev. E 60 6519–29<br />

Plerou V, Gopikrishnan P, Gabaix X and Stanley H E 2001<br />

Quantifying stock price response to <strong>de</strong>mand fluctu<strong>at</strong>ions<br />

Preprint cond-m<strong>at</strong>/0106657<br />

Radner R 1972 Existence of equilibrium of plans, prices and price<br />

expect<strong>at</strong>ions in a sequence of mark<strong>et</strong>s Econom<strong>et</strong>rica 40<br />

289–304<br />

Radner R 1979 R<strong>at</strong>ional expect<strong>at</strong>ions equilibrium: generic existence<br />

and the inform<strong>at</strong>ion revealed by price Econom<strong>et</strong>rica 47 255–78<br />

Riley J 2001 Silver signals: twenty-five years of screening and<br />

signaling J. Econ. Liter<strong>at</strong>ure 39 432–78<br />

Roehner B M and Sorn<strong>et</strong>te D 1998 The sharp peak-fl<strong>at</strong> trough<br />

p<strong>at</strong>tern and critical specul<strong>at</strong>ion Eur. Phys. J. B 4 387–99<br />

Scharfstein D and Stein J 1990 Herd behaviour and investment Am.<br />

Econ. Rev. 80 465–79<br />

Scheinkman J A and LeBaron B 1989a Nonlinear dynamics and<br />

GNP d<strong>at</strong>a Economic Complexity: Chaos, Sunspots, Bubbles<br />

and Nonlinearity ed W A Barn<strong>et</strong>t, Geweke J and Shell K<br />

(Cambridge: Cambridge University Press)<br />

Scheinkman J A and LeBaron B 1989b Nonlinear dynamics and<br />

stock r<strong>et</strong>urns J. Business 62<br />

Shefrin H 2000 Beyond Greed and Fear: Un<strong>de</strong>rstanding<br />

Behavioural Finance and the Psychology of Investing (Boston,

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!