Etude théorique d'indicateurs d'analyse technique

Dalia Ibrahim 1
1 TOSCA - TO Simulate and CAlibrate stochastic models
CRISAM - Inria Sophia Antipolis - Méditerranée , IECL - Institut Élie Cartan de Lorraine : UMR7502
Abstract : In my thesis, I have interested to analyse mathematically a indicator designed to detect changes in the volatility term and widely used by the practitionars in the market . The Bollinger Bands indicator belongs to the family of so-called technical analysis methods and therefore based exclusively on the history of the price movements and on a principle derived from past markets, regardless of any mathematical model observations. We study the performance of the bollinger Bands indicator in a modified Black-Scholes model such that the volatility changes at an unknown and unobservable random time, for a practitionar wishing to maximize an objective function (for example, a certain expected utility of portfolio at maturity)/
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Submitted on : Monday, December 16, 2013 - 12:47:00 PM
Last modification on : Saturday, January 27, 2018 - 1:32:12 AM
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  • HAL Id : tel-00919102, version 1



Dalia Ibrahim. Etude théorique d'indicateurs d'analyse technique. Finance quantitative [q-fin.CP]. Université Nice Sophia Antipolis, 2013. Français. ⟨tel-00919102⟩



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