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Stratégies d’arbitrage systématique multi-classes d'actifs et utilisation de données hétérogènes

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(1)Stratégies d’arbitrage systématique multi-classes d’actifs et utilisation de données hétérogènes Yohan Fereres. To cite this version: Yohan Fereres. Stratégies d’arbitrage systématique multi-classes d’actifs et utilisation de données hétérogènes. Economies et finances. Université Paris-Est, 2013. Français. �NNT : 2013PEST0075�. �tel-00987635�. HAL Id: tel-00987635 https://tel.archives-ouvertes.fr/tel-00987635 Submitted on 6 May 2014. HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers.. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d’enseignement et de recherche français ou étrangers, des laboratoires publics ou privés..

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Figure

Figure 4 - Approche paramétrique de market timing par ACP et par  quantification
Figure 6 -  3DVVDJHG¶XQHYDULDEOHjXQHGRQQpH
Figure 12 - Traitement des « autres informations de marché » hebdomadaires
Figure 16 - Liste des contraintes de la diversification optimale de notre portefeuille  G¶DUELWUDJH  : minimisation de la volatilité sous contraintes

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