Irrational Financial Markets

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To cite this document:

Germain, Laurent and Rousseau, Fabrice and Vanhems, Anne

Irrational Financial Markets. (2007) In: Congrès international de l'Association Française

de Finance (AFFI 2007), 27 June 2007 - 29 June 2007 (Bordeaux, France).

(Unpublished)

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(10)

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(11)

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(12)

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(13)

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(14)

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(16)

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(17)

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(18)

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(20)

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(21)

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(22)

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(23)

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(25)

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(26)

≠

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(29)

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(30)

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@ $ ' " ' 9 " #$ ' ." # 55 5 N = " # " 5 ' 9 031 0* 1 ' 5 ' 9 # . G @ 9 G 021 0,1 0 1 0-1 031 0* 1 # . = # # +*

(33)

# $ + ." " @ # 9 % = ' ." # # " @ # # ." " @ G ' " ' < = # 5

(34)

." " @ # # 8 5 ." # # " @ = # 9" # A ' 5 ." # ." " @ # # = " $ ; " ? ." " @ $ ' ' ." @ 5 5 # G ' @ 5 5 # ++

(35)

5 # = " ' " ' ." G 0**1 ; ' ." 0**1 # 5 # = 0 1 = ' 0 1$ ; ' 0**1 = " ' $ D " ' = 9 5 # $ 9 # ' = ' # 9 # ' = $ ' ." # F ." " @ # 5 ' ." " @ $ " ' *$ / !+ # . < 5 ." 9 = 5 # ? "

(36)

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(37)

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# = ! $ " # ." " @ 5 # = # = " " " $ + ' 5 ' 9 ' # # = ' 9 # = +

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$ = = # & ! $ ." ' 5 ' @ ." ' G ' ." # = # ." '

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+ $ 7 $ 0 1 ( $ $ $ ; $ LD' @ 5 M 0 ) ) 5 0 1$ = $ $ 7 5 $ L ." ' M 0 1$ A $ L # " & D 5 M 1 , + / 0 1 ( A $ L ) 9 59 # ( 5& "" 5 5 ' 9 M , / - ' . 0 1 ( $ A $ LD' @ 5 ! " "& % 5 ' % ) ( 5 M 2 * 3 $ 0 1$ A $ L; 9 % !' ! 5 % " ' D"( % !' M ) + / % & $ L 5 !. 5 !." & ' 9 M 3 ' * ) $ 0 1 ( $ : 7$ L ' 5 !." # ! ( !. 5 # D" ) M ; 5 ) " ;)> 4>*3, 0 1$ :9 $ $ L% 5 M * $ 7 $ 0 1 ( $

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:9 $ $ $ $ ; 5$ L " " 9 = 5 5 & % D' @ ' ' M , -$ 7 $ 0 1 ( $ 5 !$ L # % M , / + / ' $ 0 1 ( $ $ $ 7 $ 7 5 $ L 7 ( M " $ 7 $ 0 1 ( $ D $ %$ D $ LD' @ % 9 M 0 1$ D $ L ' < O M , - $ 7 $ 0 1 ( $ D $ L 9 ) ) @ ; ' ' 5 M , - $ 7 $ 0 1 ( $ D $ L ' M 3 * ) $ 7 $ 0 1 ( $ J5 $ $ A $ % $ $ LI 5 D' ( @ & D ) ' 9O M 0 1$ I$ L 5( ) # # ) D? 5 M , - $ 7 $ 0 1 ( $ I$ )$ $ L% @ ( 5& A = 5 !' 9 M & ) 0 1$ $ L ) ' I @ 9 G % 5 ' O M 3 * ) $ 0 1 ( $ 4*

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$ L% ' ) % ' ' M , - $ 7 $ 0 1 ( $ 7$ $ L # " * M A = & ) ( 5 0 1$ 9 $ I$ =$ L ; ( 5& ) 9 5 ) " ' A M / 1 $ 0 1 ( $ 9 $ I$ = $ L) ' ; ( 5 ' " ( 5 M / 1 $ 0 1 ( $ ; 7$ L8 D" # !' M , / + / $ 0 1 ( $ ; :$ L 5 9 F A ' ' M , - $ 7 $ 0 1 ( $