La modélisation de l'indice CAC 40 avec le modèle basé agents

Abstract : We develop an agent-based model to replicate two frequently observed anomalies in the financial markets: the fat tails and the clustered volatility of the distribution of the returns. Our goal is to show conclusively that these anomalies could be attributed to a mimetic formation of the expectations of the stakeholders in the markets. We did not follow the rencent developpments in the field of the ACE model in the finance, but we propose a very simple model which is estimated from the stylized facts of the French daily index CAC 40. The hypothesis of mimetic anticipations can thus be tested: it is not rejected in our modeling.
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https://tel.archives-ouvertes.fr/tel-01950289
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Submitted on : Monday, December 10, 2018 - 4:34:06 PM
Last modification on : Wednesday, July 17, 2019 - 5:38:02 PM
Long-term archiving on : Monday, March 11, 2019 - 3:57:19 PM

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Nan Lu. La modélisation de l'indice CAC 40 avec le modèle basé agents. Economies et finances. Université Paris-Est, 2018. Français. ⟨NNT : 2018PESC0004⟩. ⟨tel-01950289⟩

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