Tests de l'efficience faible à partir des ondelettes de Haar

Abstract : This proposed thesis uses the Haar wavelets to create new technical indicators, to evaluate their performance in order to test the validity of the weak form of efficient market hypothesis. The chosen approach aims to implement the capabilities of technical indicators to capture the long memory present in the US and European stock indices through the estimation of the trend by the smoothing process. Moreover, the trend is an important component in the economic and financial series. Indeed, it has been the subject of innumerable investigations in technical analysis, in signal processing and in the theory business cycle theory. However, its presence is not taken into account in the classic theory of finance because the main models used focus on changes in stock prices. For this purpose, the trend constitutes a source of non-stationarity leading to major difficulties for econometric or financial modeling. Exploit trend is freed, in this case, from the hypotheses of tendancy or unit root. In addition, the issue of the results we obtained from the regime change model. We confirm that it is possible to exploit the presence of long memory in the series, and also to beat the market in the presence of transaction costs on the American and European markets.
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Autran Belsuz. Tests de l'efficience faible à partir des ondelettes de Haar. Gestion et management. Université de la Réunion, 2017. Français. ⟨NNT : 2017LARE0061⟩. ⟨tel-02307440⟩

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