Дисертації з теми "Volatilité des indices boursiers"
Оформте джерело за APA, MLA, Chicago, Harvard та іншими стилями
Ознайомтеся з топ-50 дисертацій для дослідження на тему "Volatilité des indices boursiers".
Біля кожної праці в переліку літератури доступна кнопка «Додати до бібліографії». Скористайтеся нею – і ми автоматично оформимо бібліографічне посилання на обрану працю в потрібному вам стилі цитування: APA, MLA, «Гарвард», «Чикаго», «Ванкувер» тощо.
Також ви можете завантажити повний текст наукової публікації у форматі «.pdf» та прочитати онлайн анотацію до роботи, якщо відповідні параметри наявні в метаданих.
Переглядайте дисертації для різних дисциплін та оформлюйте правильно вашу бібліографію.
Métais, Carole. "Etude théorique et empirique de la distribution des rentabilités des actifs financiers et de leur volatilité." Paris 9, 2011. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2011PA090045.
Повний текст джерелаBuilding on the notion of realized variance and bipower variation, this thesis provides a thorough analysis of the properties of stock market volatility. Particular emphasis is placed on the study of the existing links among the volatilities of a set of stock market indexes. First, we examine the characteristics of the realized variance series as well as those of their continuous and jump components. Then, we introduce a method to decompose the jump component into individual jumps. We proceed with the analysis of the jump characteristics, namely frequency and size. Lastly, we investigate the existence of volatility and jump transmissions among stock markets. We show that both volatility and jump occurrences in different markets are related at a contemporaneous level but that spillover effects can only be detected among volatilities and mainly for short-time horizons
Labidi, Chiraz. "Modélisation des rendements par des mélanges discrets, dynamiques des surfaces de volatilités implicites et mécanismes de transmission internationaux." Paris 9, 2002. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2002PA090035.
Повний текст джерелаThis thesis is organized in three parts corresponding to three essays in empirical finance. In the first part, we present a new estimation method for Gaussian mixture modeling, namely the Kurtosis-controlled EM algorithm, that overcomes the limitations of the usual estimation techniques via kurtosis control and kernel splitting. We then use the discrete Gaussian mixture framework to account for the observed thick-tailed distributions of futures returns and apply the Kurtosis-controlled EM algorithm to estimate the distributions of real (agricultural, metal and energy) and financial (stock index and currency) futures returns. We show that this framework is perfectly adapted to capturing the departures from normality of the observed return distributions. An impressive body of the literature has investigated the patterns of changes in implied volatilities across strike prices and maturities. Although such studies try to explain the existence of the volatility skew and term structure. They remain silent about the evolution of the volatility surface as the time goes by and market variables move. In the second part of this thesis, we rely on a technique of signal processing called Independent Component Analysis to extract volatility modes that account for most of the variations in the shape of the surface. We then relate the magnitude of volatility changes along those modes to market activity. A better understanding of cross-market linkages and interactions would help to better manage international financial exposure. So far, no attempt has been made to investigate the degree of price and volatility spillovers in a non -Gaussian conditional framework. We present, in the third part, a new model for these transmission mechanisms that relies on non-central t marginal distributions and a copula function to characterize the conditional dependence. Rendering the dependence parameter time-varying, we investigate how the dependence structure is affected by stock return innovations
El, Bakkouchi Mounir. "Analyse du risque de marché boursier marocain en période de crise des subprimes : Cas de l'indice MASI." Thesis, Montpellier 1, 2014. http://www.theses.fr/2014MON10004/document.
Повний текст джерелаThe Moroccan stock market had experienced an unmatched Sharp collapse due to the subprime crisis that happened in the USA on summer 2007, the index of MASI lost 20% in the same year, thus we can talk here about a crash of stock. In 2008, the stock market lost 70 billion MAD. It is possible that it will continue decreasing, and that the scenario of 2007 - 2009 will happen again. The purpose of this thesis is to suggest a detailed empirical analysis of the yields of MASI index and choose the most efficient portfolios, and an econometric model that can record the lowest score of the violations, in other words, it can guarantee the best cover against the downside market risk Whatever the level of the volatility reached by the Moroccan stock market, to achieve this goal we use the Markowitz model and Value at Risk
Mokengoy, Mardochée Bopo. "Volatility transmission between the oil price, the exchange rate and the stock market index." Master's thesis, Université Laval, 2015. http://hdl.handle.net/20.500.11794/25856.
Повний текст джерелаThis thesis analyzes the transmission of volatility between oil prices, exchange rates and stock market indices in Canada and in the USA for the period 1999/01/04 – 2014/03/21. Using a multivariate GARCH – BEKK model, we find that in Canada, there is a bidirectional transmission of volatility between the exchange rate $US/$CAD and the stock market index TSX, a positive transmission from the stock market index to the oil price and a negative transmission from the exchange rate to the oil price. We find also that these relationships are not stable over time. For the USA, the model estimated does not satisfy the condition of covariance stationarity for the entire sample and the sub sample 1999/01/04 – 2002/10/08. So we consider only results for sub samples 2002/10/09 – 2008/05/30 and 2008/06/02 – 2014/03/21. Results show that there are transmissions of volatility, but here again, these relationships are not stable over time.
Majidi, Elmehdi. "Finance islamique et croissance économique : quelles interactions dans les pays MENA." Thesis, Pau, 2016. http://www.theses.fr/2016PAUU2001/document.
Повний текст джерелаThis dissertation contains three essays on different issues on mergers and acquisitions, left unexplored or unresolved by the existing literature. The first study examine the relationship between Islamic finance development and economic growth in a panel of 15 MENA and Sout-est-asia countries over the 2000-2009 period, using a variety of econometric methods and four standard measures of Islamic financial development. The study identifies two sets of findings. First, fixed effects estimation, panel-data-instrument variables regressions and GMM-difference estimator reveal that the relationship between Islamic financial development and economic growth is positive. The semiparametric panel model shows that there is evidence of nonlinearity in the data. The second study, assess empirically the effect of the 2007-2008 subprime financial crisis on Islamic banks using a sample of 27 Islamic banks and 43 conventional banks during the period from 2005 to 2009. Using the Z-score as indicator of bank stability the results of our regression analysis show that there is no difference in terms of the effect of the financial crisis on the soundness of Islamic bank and their conventional counterparts. The third study aims to examine the volatility of Islamic stock index compared to their conventional counterparts. Five major Islamic stock indexes have been the subject of our third study as well as their conventional counterparts. Covering a time period from 12/02/2009 to 12/02/2014. The application of Granger causality tests detected different causalities during the period, between the returns series under study. Employing Generalized Autoregressive Conditional Heteroskedastic (GARCH), our results indicate that, four among five Islamic stock indexes were less volatile than their conventional counterparts. But, one Islamic index are more volatile than their conventional counterpart
Khoali, Youssef. "Etude des options journalières et hebdomadaires introduites par Nyse Euronext : transferts de volumes, types d'investisseurs et volatilité du marché sous-jacent." Thesis, Grenoble, 2012. http://www.theses.fr/2012GRENG010.
Повний текст джерелаThe objective of this dissertation is to study the daily and weekly options recently introduced by NYSE Euronext on the Dutch stock index AEX-Index. We study these options from three distinct angles: First, the impact of their introduction on the volume of existing options with longer maturities. Next, we analyze the different types of investors who trade these options and we distinguish between members of markets, customers and market makers. Finally, given investor information savvy and sophistication levels for those who trade short maturities options, we examine the impact of their trading on underlying market volatility, i.e. the volatility of the stock market index AEX. Our main results reveal a substitution effect of the existing monthly options by the new options. We observe a negative impact of daily and weekly options on monthly option volumes and a negative impact of the introduction of daily options on weekly option volumes. Concerning investors, we find that the daily and weekly options are mainly traded by customers of market members who are less informed and less sophisticated. With regard to the underlying volatility, we find an increase of the AEX index volatility level following daily and weekly options introduction, explained by the fact that these new options are traded by customers who are weakly informed investors
Khalfaoui, Rabeh. "Wavelet analysis of financial time series." Thesis, Aix-Marseille, 2012. http://www.theses.fr/2012AIXM1083.
Повний текст джерелаThis thesis deals with the contribution of wavelet methods on modeling economic and financial time series and consists of two parts: the univariate time series and multivariate time series. In the first part (chapters 2 and 3), we adopt univariate case. First, we examine the class of non-stationary long memory processes. A simulation study is carried out in order to compare the performance of some semi-parametric estimation methods for fractional differencing parameter. We also examine the long memory in volatility using FIGARCH models to model energy data. Results show that the Exact local Whittle estimation method of Shimotsu and Phillips [2005] is the better one and the oil volatility exhibit strong evidence of long memory. Next, we analyze the market risk of univariate stock market returns which is measured by systematic risk (beta) at different time horizons. Results show that beta is not stable, due to multi-trading strategies of investors. Results based on VaR analysis show that risk is more concentrated at higher frequency. The second part (chapters 4 and 5) deals with estimation of the conditional variance and correlation of multivariate time series. We consider two classes of time series: the stationary time series (returns) and the non-stationary time series (levels). We develop a novel approach, which combines wavelet multi-resolution analysis and multivariate GARCH models, i.e. the wavelet-based multivariate GARCH approach. However, to evaluate the volatility forecasts we compare the performance of several multivariate models using some criteria, such as loss functions, VaR estimation and hedging strategies
Castillan, Solenne. "Contrat à terme sur indice boursier : le cas du FCE sur CAC40." Thesis, Montpellier, 2016. http://www.theses.fr/2016MONTD056/document.
Повний текст джерелаThe CAC 40 index is the first thing that comes to mind when talking about financial markets. However it is not negotiable. Therefore appeared derivative contracts such as futures contract FCE whose underlying is the CAC40 index which can be bought and sold. Their values are very close but not equal. So what is the relationship between the FCE contract and the CAC40? Using daily downloadable data on the Internet and accessible to everyone, answers will be given. In the first part we present the future contracts derived from the CAC40, the reasons to trade it, and we compare it to other stock index futures in the world. We then study the relationship FCE / CAC40 in terms of informational efficiency. For that we will study different notions of basis and try to model them. Finally in the last part we are interested in the same relationship but with a microstructure point of view, studying in particular non-price variables: volume and open interest, and volatility. Finally, we will try to modelise volatility with these variables
Challe, Édouard. "Prophéties auto-réalisatrices et volatilité des cours boursiers." Paris 10, 2002. http://www.theses.fr/2002PA100130.
Повний текст джерелаThis Ph. D thesis deals with the measurement and determinants of stock market volatility. Part One uses time-series econometric techniques in order to assess the size and persistence of stock markets fluctuations. Major financial anomalies, such as excess volatility and return predictability, are then presented in a unified framework. The analysis leads me to qualify the scope of the so-called Efficient Markets Hypothesis (which turns out to be unfalsifiable), and to stress the need to explain the wide swings in the discount rate that drive stock market fluctuations. Part Two offers a theoretical explanation, based on the notions of equilibrium indeterminacy and self-fulfilling prophecies, to the aforementioned anomalies. Two simple asset pricing models are used to show that the high volatility of stock markets, far from proving their irrationality, is rather a natural implication of the multiplicity of equilibria that may arise in dynamic rational expectations models
Kyrtsou, Catherine. "Hétérogénéité et chaos stochastique dans les marchés boursiers." Montpellier 1, 2002. http://www.theses.fr/2002MON10003.
Повний текст джерелаMa, Lin. "Structures et aléa en finance, une approche par la complexité algorithmique de l’information." Thesis, Lille 1, 2010. http://www.theses.fr/2010LIL12018/document.
Повний текст джерелаThis doctoral dissertation examines different notions of financial randomness and regularity. We show that main financial theories (i.e. market efficiency, behavioral finance and the so-called ``conventionalist approach'') support the impossibility of outperforming the ``buy and hold'' strategy. This point is confirmed by statistical works since regularities identified in financial time series do not help to predict the direction of future returns. To the best of our knowledge, available econometric models often provide too low ``hit scores'' (< 60%) to become successful trading rules. A conceptuel contribution of this work lies in the introduction of algorithmic complexity to finance. A general approach is proposed to estimate the ``Kolmogorov complexity'' of financial returns: lossless compression tools are used to detect regular patterns which could be overlooked by statistical tests. By studying tick-by-tick data from major stock markets, we find a higher complexity for the Euronext-Paris data than for the NYSE and the NASDAQ ones. This result can be explained by their intraday volatility autocorrelations. Supported both by financial theories and by empirical observations, impossibility to outperform the ``buy and hold'' strategy is linked to the common expression ``to outperform the market'' by a new definition for ``unbeatable strings''. With computable functions modeling effective trading rules, a price sequence is said to be ``unbeatable'' if no effective trading rule can generate indefinitely more profits than the ``buy and hold'' alternative
Ben, Slimane Faten. "La consolidation des marchés boursiers." Paris 9, 2010. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2010PA090002.
Повний текст джерелаSince the nineties, the stock market environment has experienced significant changes affecting the organization and structure of these markets. This has led to strategic moves in mergers and alliances at a national as well as at an international scale. The aim of this thesis is to better understand this phenomenon and analyze its impact on the future of stock markets considered as any operational firm seeking to maximize its profits. To achieve this, and after a theoretical analysis of this phenomenon, we focused on the case of merger of the four European stock markets giving birth to Euronext. Our goal is to study the merger and its potential effect on the volatility and liquidity of these markets. The results obtained confirm the assumption that the merger is beneficial to merging markets in terms of liquidity and volatility. Note however that the expected benefits depend on the size of the securities, on the market studied, its importance and its degree of integration with other financial places before their effective consolidation
Mehanaoui, Mohamed. "Intégration financière des marchés boursiers : Analyse intra-journalière des actions inter-inscrites et des co-mouvements des indices boursiers." Paris 10, 2010. http://www.theses.fr/2010PA100015.
Повний текст джерелаThe increased availability of high frequency data sets have led to important new insights in understanding of financial markets’ behavior. The development of intraday data bases has allowed of a wide range of issues in financial markets’ research like the intraday dynamics of stock market or the price interaction. In this dissertation, we study the financial market integration by testing the hypothesis of Werner and Kleidon (1996) according which « If markets are perfectly integrated and trading overlaps at some point in time, the intraday patterns in volatility, volume for both markets combined should resemble the U shape documented for single markets. ». The objective is to analyze the intraday pattern of volatility and volume of French cross listed firms in the US market. Zooming in the overlap time, we verify if price discovery on both markets reflects the same underlying, new information. Besides, we explore the linkage among the international equity market for the French, Germany and US during the overlap time. Furthermore, we investigate the intraday return, volatility and correlation interaction between markets. Our purpose is to study the intraday comovement of integrated market and this, during both a quiet and crisis period
Barbieri, Emanuele. "Discrete Event Modeling and Simulation of Large Markov Decision Process : Application to the Leverage Effects in Financial Asset Optimization Processes." Electronic Thesis or Diss., Corte, 2023. http://hal-univ-corse.archives-ouvertes.fr/view_by_stamp.php?&action_todo=view&id.
Повний текст джерелаMarkov Decision Process (MDP) models are widely used to model decision-making problems in manyresearch fields. MDPs can be readily designed through modeling and simulation (M&S) using theDiscrete Event System Specification formalism (DEVS) due to its modular and hierarchical aspects,which improve the explainability of the models. In particular, the separation between the agent andthe environment components involved in the traditional reinforcement learning (RL) algorithm, suchas Q-Learning, is clearly formalized to enhance observability and envision the integration of AIcomponents in the decision-making process. Our proposed DEVS model also improves the trust ofdecision makers by mitigating the risk of delegation to machines in decision-making processes. Themain focus of this work is to provide the possibility of designing a Markovian system with a modelingand simulation formalism to optimize a decision-making process with greater explainability throughsimulation. Furthermore, the work involves an investigation based on financial process management,its specification as an MDP-based RL system, and its M&S with DEVS formalism. The DEVSimPyPython M&S environment is used to implement the Agent-Environment RL system as event-basedinteractions between Agent and Environment atomic models stored in a new DEVS-RL library. Theresearch work proposed in this thesis focused on a concrete case of portfolio management of stockmarket indices. Our DEVS-RL model allows for a leverage effect three times higher than some of themost important naive market indexes in the world over a thirty-year period and may contribute toaddressing the modern portfolio theory with a novel approach. The results of the DEVS-RL model arecompared in terms of compatibility and combined with popular optimization algorithms such asefficient frontier semivariance and neural network models like LSTM. This combination is used toaddress a decision-making management policy for complex systems evolving in highly volatileenvironments in which, the state evolution depends entirely on the occurrence of discreteasynchronous events over time
Bouraoui, Taoufik. "L' impact des spams boursiers sur les caractéristiques des titres financiers." Paris 10, 2009. http://www.theses.fr/2009PA100121.
Повний текст джерелаLaunched for the first time on a scam that promised to obtain work permits for immigrants in USA, spam has evolved from drugs,false diplomas, phishing. . . Until the appearance of messages that are intented to manipulate stock prices. These messages,called stock spams based on the following principle : spammers start by buying gradually, for not raising the price, a large quantity of securities. Then, by messages taking the form of financial advice, they arouse interest for the stock objet of spam, in order to increase artificially prices. Finally, once the price reaches the desired level, they sell all the stocks and make profits. The constant increase of stock spams does not any more allow considering these phenomena as negligible and leads to wonder about effects which they can have on the dynamics of stock prices. We therefore proposed in this thesis to study the impact of stock spams on three variables namely volume,return and volatility. The implementation of the event study methodology showed that these messages have a significant impact on the activity of penny stock market. This market is illiquid and we cannot exclude that abnormal variations are largely dependent on the degree of illiquidity of each security. To check this assumption, we used a regression model in order to determine whether the variable of illiquidity measured by the Amihud ratio has an explanatory power on the abnormal reaction of volume, return or volatility. Our results have highlighted a significant relationship between illiquidity and the reactions of each of the three variables. Therefore, the significant effect observed on the characteristics of penny stock securities is due to their lack of liquidity
Sbaï, Mohamed. "Modélisation de la dépendance et simulation de processus en finance." Thesis, Paris Est, 2009. http://www.theses.fr/2009PEST1046/document.
Повний текст джерелаThe first part of this thesis deals with probabilistic numerical methods for simulating the solution of a stochastic differential equation (SDE). We start with the algorithm of Beskos et al. [13] which allows exact simulation of the solution of a one dimensional SDE. We present an extension for the exact computation of expectations and we study the application of these techniques for the pricing of Asian options in the Black & Scholes model. Then, in the second chapter, we propose and study the convergence of two discretization schemes for a family of stochastic volatility models. The first one is well adapted for the pricing of vanilla options and the second one is efficient for the pricing of path-dependent options. We also study the particular case of an Orstein-Uhlenbeck process driving the volatility and we exhibit a third discretization scheme which has better convergence properties. Finally, in the third chapter, we tackle the trajectorial weak convergence of the Euler scheme by providing a simple proof for the estimation of the Wasserstein distance between the solution and its Euler scheme, uniformly in time. The second part of the thesis is dedicated to the modelling of dependence in finance through two examples : the joint modelling of an index together with its composing stocks and intensity-based credit portfolio models. In the forth chapter, we propose a new modelling framework in which the volatility of an index and the volatilities of its composing stocks are connected. When the number of stocks is large, we obtain a simplified model consisting of a local volatility model for the index and a stochastic volatility model for the stocks composed of an intrinsic part and a systemic part driven by the index. We study the calibration of these models and show that it is possible to fit the market prices of both the index and the stocks. Finally, in the last chapter of the thesis, we define an intensity-based credit portfolio model. In order to obtain stronger dependence levels between rating transitions, we extend it by introducing an unobservable random process (frailty) which acts multiplicatively on the intensities of the firms of the portfolio. Our approach is fully historical and we estimate the parameters of our model to past rating transitions using maximum likelihood techniques
Ben, Hamida Nessrine. "L'impact de l'IAS 39 sur la volatilité des résultats et des cours boursiers des banques françaises." Paris 9, 2009. https://bu.dauphine.psl.eu/fileviewer/index.php?doc=2009PA090044.
Повний текст джерелаTrudel, Sébastien. "Caractérisation des comportements boursiers des actions privilégiées canadiennes par rapport aux indices obligataires." Thesis, Université Laval, 2014. http://www.theses.ulaval.ca/2014/30738/30738.pdf.
Повний текст джерелаAbdelkrim, Araar. "La mesure de dispersion des sous-indices boursiers et le taux de chômage." Mémoire, Université de Sherbrooke, 1993. http://hdl.handle.net/11143/8254.
Повний текст джерелаArgy, Laurent. "Evaluation empirique des mécanismes de transmission des chocs fondamentaux et non fondamentaux vers les marchés boursiers." Université Louis Pasteur (Strasbourg) (1971-2008), 2007. https://publication-theses.unistra.fr/public/theses_doctorat/2007/ARGY_Laurent_2007_1.pdf.
Повний текст джерелаNicolas, José. "Politiques macroéconomiques et volatilité des marchés boursiers, analyse de modèles ICAPM multivariés sous hypothèses de covariances conditionnelles." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp01/MQ38166.pdf.
Повний текст джерелаLemand, (suleimann) Ryan. "Indices boursiers internationaux et la crise des nouvelles technologies : approches switching et DCC-MVGARCH." Phd thesis, École normale supérieure de Cachan - ENS Cachan, 2003. http://tel.archives-ouvertes.fr/tel-00287357.
Повний текст джерелаBezzahou, Youssef. "Les indices boursiers : théorie du marché financier, rendement et anlyse, cas du CAC 40." Paris 1, 1998. http://www.theses.fr/1998PA010047.
Повний текст джерелаSuleimann, Ryan. "Indices boursiers internationaux et la crise des nouvelles technologies : approches switching et DCC-MVGARCH." Cachan, Ecole normale supérieure, 2003. http://www.theses.fr/2003DENS0016.
Повний текст джерелаSince the New Technology crisis of the year 2000 and the big rise in the volatility of stock markets across the world with respect to before the year 2000, the modelling of this volatility and its contagion effect across stock markets in the world, has drawn many discussions and research on this subject. As a consequence, we model the volatility of three technological indexes : NASDAQ-100, IT. CAC and NEMAX and five global indexes : Dow Jones Industrial Average, Standard & Poor 500, NASDAQ Composite, DAX and CAC40, in order to check if the investment risk, measured using the value at risk (VaR), has changed following the New Technology crisis. We also show that the New Technology crisis, among all the other stock market crises, is the one that affected the most, stock markets across the world. Our calculation of the VaR requires a precise modelling of the examined series’ volatility and the identification of the presence of dynamic conditional correlations or not. We use different models to estimate this volatility, in particular, changing regime models (SWARCH, SWGARCH and MSVECM) and a dynamic conditional correlation multivariate GARCH model (DCC-MVGARCH). We use the switching regime models and VAR models in order to show the existence of co-mouvement and contagion effects between the eight indexes. Then, we use the CC-MVGARCH model in order to show the effect of the New Technology crisis on the rise in stock markets’ volatility and the presence of dynamic conditional correlations that link those major indexes, in addition to its use for the VaR calculation. Finally, we compare the DCC-MVGARCH VaR with the VaR calculated using the non-parametric method of copulas
Leleu, Marion. "Extraction de motifs séquentiels sous contraintes dans des données contenant des répétitions consécutives." Lyon, INSA, 2004. http://theses.insa-lyon.fr/publication/2004ISAL0001/these.pdf.
Повний текст джерелаThis PhD Thesis concerns the particular data mining field that is the sequential pattern extractions from event sequence databases (e. G. Customer transaction sequences, web logs, DNA). Among existing algorithms, those based on the use of a representation in memory of the pattern locations (called occurrence lists), present a lost of efficiency when the sequences contain consecutive repetitions. This PhD Thesis proposes some efficient solutions to the sequential pattern extraction in such a context (constraints and repetitions) based on a condensation of informations contained in the occurrence lists, without lost for the extraction process. This new representation leads to new sequential pattern extraction algorithms (GoSpade and GoSpec) particularly well adapted to the presence of consecutive repetitions in the datasets. These algorithms have been proved to be sound and complete and experiments on both real and synthetic datasets enabled to show that the gain in term of memory space and execution time is important and that they increase with the number of consecutive repetitions contained in the datasets. Finally, a financial application has been performed in order to make a condensed representation of market trends by means of frequent sequential patterns
Gillet, Philippe. "Les sociétés financières et l'animation du marché financier." Paris 9, 1993. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1993PA090062.
Повний текст джерелаKasbi, Salma. "Structure financière des entreprises : Impact du market timing et de l'implication des banques dans la gouvernance des entreprises." Paris 9, 2009. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2009PA090055.
Повний текст джерелаLeleu, Marion Boulicaut Jean-François. "Extraction de motifs séquentiels sous contraintes dans des données contenant des répétitions consécutives." Villeurbanne : Doc'INSA, 2005. http://docinsa.insa-lyon.fr/these/pont.php?id=leleu.
Повний текст джерелаEl, Khamlichi Abdelbari. "Éthique et performance : le cas des indices boursiers et des fonds d'investissement en finance islamique." Phd thesis, Université d'Auvergne - Clermont-Ferrand I, 2012. http://tel.archives-ouvertes.fr/tel-00773171.
Повний текст джерелаEl, Khamlichi Abdelbari. "Ethique et performance : le cas des indices boursiers et des fonds d'investissement en finance islamique." Thesis, Clermont-Ferrand 1, 2012. http://www.theses.fr/2012CLF10401/document.
Повний текст джерелаSince the mid-Nineties, Islamic mutual funds and indices have received a significant level of academic scrutiny. However, the debate over their under-Performance or over-Performance is not over yet. The prime objective of our study is to explore the stakes, the performance and the persistence in performance of this category of indices and funds. As for indices, the study used a sample of 57 Islamic indices and their conventional benchmarks. It is carried out through a) studying the similarities and differences between Islamic and conventional indices; b) surveying the current literature by performing both narrative and meta-Analytical review of the literature, c) studying the efficiency and their potential for diversification; d) comparing the return, the risk and the performance of Islamic indices with their conventional counterparts, e) ranking Islamic indices using various performance measures; and f) studying the persistence using the four-Factor pricing model. Despite their lack of diversification, the study finds that Islamic indices have, in average, the same level of inefficiency and performance as their conventional counterparts. As for funds, the study used a sample of 111 Islamic equity funds over the period April 2005 to March 2011 and carried out through applying different performance measures and non-Parametric tests of performance persistence over three equal sub-Periods. The study finds much heterogeneity in Islamic funds‘ performance and a little evidence that supports non-Persistence in performance of Islamic mutual funds during and after the last financial crisis
Alphonse, Pascal. "L'arbitrage du contrat a terme sur indice cac 40. Valorisation, dynamique et microstructure." Lille 2, 1997. http://www.theses.fr/1997LIL20026.
Повний текст джерелаThis work deals with the process of price formation in the french stock index market and stock index futures market. Most of the analysis is concerned with the role arbitrageurs play in this join dynamics. The investigation is based on intraday time stamped data (price, quotes, orders and depth at the best quotes) recorded in 1994 and 1995 by the sbf, the french stock exchange, and the matif, the french futures markets. We first show that the market frictions make the arbitrage decision a strategic one, what is in accord with empirical findings. The action of arbitrageurs depends on liquidity pressure and/or information arrival. The hypothesis of an informational advantage of the futures market is also analyzed. We show that half of the conditional variance of the stock index returns, as represented by a garch process, is indeed explained by arbitrage trading, but only twenty percent of the variance of the futures. We next analyze the competitive structure of arbitrage trading in paris. We cannot reject the hypothesis of a competitive/oligopolistic structure of arbitrage. Mispricings are then quite we find evidence for both an information effect and a liquidity effect of arbitrage trading, even if the behavior of the basis is taken into account. Nevertheless, the liquidity effect does not affect the price formation process in the long run. The incentive mechanism of liquidity provision explains this empirical finding
Ben, Naceur Samy. "Contribution à l'estimation de la sous-évaluation des introductions sur le nouveau marché." Paris 1, 2003. http://www.theses.fr/2003PA010027.
Повний текст джерелаMandou, Cyrille. "Les marchés financiers émergents d'Asie du Sud-Est : efficience et gestion quantitative, application d'une stratégie active de market timing." Bordeaux 4, 2000. http://www.theses.fr/2000BOR40044.
Повний текст джерелаCharlot, Bernard. "Identification des facteurs des rendements boursiers : une comparaison du CAPM et de l'APT." Paris 1, 1991. http://www.theses.fr/1991PA010012.
Повний текст джерелаSebai, Samia. "L'impact des fluctuations du prix du pétrole sur l'activité économique : application aux pays de la région MENA." Caen, 2016. http://www.theses.fr/2016CAEN0503.
Повний текст джерелаThe influence of oil price fluctuations has been the subject of several empirical studies, however there is no consensus on the transmission mechanisms in the economy. The objective of this thesis is to identify the impact of oil price changes on the real economy and on the stock markets of the MENA region countries. For this purpose, we firstly implement causality and cointegration tests to analyze the interactions between energy prices and macroeconomic variables respectively on the short and long term. Moreover, by dissociating the effects of increases and decreases in oil prices, we test the potential for asymmetric transmission of shocks on economic variables regarding exporting and importing MENA countries. In a second time, we analyze the interdependencies between the stock market and oil market through a VAR (1)-GARCH (1,1) model estimation with constant conditional correlation which takes into account the impact of shocks transmission on yields and volatilities of both markets. We conduct both an aggregated and sectorial analysis to analyze the impact of changes in energy prices on domestic stock index and identify the most vulnerable economic sectors. Finally, the analysis of correlations between the stock market and oil market provide useful information on portfolio diversification in the presence of the oil price fluctuations’ risk
Gruson, Pierre. "La masse monétaire et le cours moyen des actions. Analyse théorique et investigation économétrique : France, 1970-1988." Rouen, 1988. http://www.theses.fr/1988ROUEL066.
Повний текст джерелаTheorical analysis: direct effect study (liquidity effect, anticipations) and undirect effect study (global : conjuncture and partial : production and domestic sectors ). Discussion about causality and lag value between money and stock prices. (Absorption theory, quantitative theory, and efficient market theory). Presentation nature and results : structural analysis and conjunctural analysis, periodicity and unanticipated money supply. Monetary aggregates and stock market index characters and evolution study. Econometric investigation : graphical analysis and econometric models about money supply and stock market prices. Research about causality and lag value, unanticipated component of money supply. Economical signification for proposed results. Main result : there's a significative effect of the monetary aggregates m2-m1 and m3-m2 upon monthly stock market index of " compagnie des agents de change ". Money is in advance upon stock market for its unanticipated component. (r2=406% ; dw=1,85)
Mohamed, Cheik Hamidou Issoufa. "Excès de liquidité monétaire, objectif d'inflation et stabilité financière." Thesis, Rennes 1, 2013. http://www.theses.fr/2013REN1G001/document.
Повний текст джерелаRecent developments in asset prices (stocks, real estate) during the last decade have revived the debate on the origin of some unbalances (bubbles) and their impact on the real economy. Indeed asset prices respond to liquidity glut (the global monetary base growing faster than world production) in a low inflation regime. In this thesis, we try to clarify the relationship between liquidity conditions and prices which may render economies more vulnerable to financial shocks (e.g. as a result of the bursting of asset prices bubble). Thereafter, we examine how monetary policy should respond to this threat by analyzing the implications of the existence of liquidity glut on the "inflation targeting" policy. To deal with liquidity glut and ensure financial stability, should central banks have to consider asset prices in their design of monetary policy?
Ahdida, Abdelkoddousse. "Processus matriciels : simulation et modélisation de la dépendance en finance." Thesis, Paris Est, 2011. http://www.theses.fr/2011PEST1154/document.
Повний текст джерелаAfter a short introduction (in French) to the multi dimensional modelling for index pricing problems, the first part of the thesis treats the simulation of stochastic differential equations defined on the cone of symmetric positive semi-definite matrices. Indeed, we present several second order discretization schemes associated to a general class of affine processes defined on $posm.$ We study also their weak convergence. We pay a special attention to Wishart processes, which are considered as a particular case of this class and have been frequently used in finance. In this case, we give an exact scheme and a third order discretization one. To the best of our knowledge, this is the first exact sampling of the Wishart distribution without any restrictions on its parameters. Some algorithm are proposed in order to enhance all scheme in term of computation of time. We show numerical illustrations of our convergence and compare it to the theoretical rate. We then focus on other type of processes defined on the correlation matrix space. For this purposes, We propose a new stochastic differential equation defined on $crr.$ We prove the weak and the strong existence of such solutions. These processes are considered as the extension of Wright-Fisher processes (or Jacobi process) on correlation matrices. We shed light on a useful connection with Wishart processes and Wright-Fisher multi-allèles. Moreover, we explicitly present their moments, which enable us to describe the ergodic limit. Other results about Girsanov representations are also given. Finally, in order to use these processes in practice, we propose second order discretization schemes based on two different methods. Numerical experiments are presented to show the convergence. The last part is devoted to multi dimension modelling in finance for baskets and indices pricing. After giving a mathematical analysis of models defined either by the correlation matrix or in the positive semi-definite semi positive one, we ask if we find the adequate structure of correlation models which is able to calibrate both the index options market and the single options market related to each component of this index. For this purpose, we propose two types of modelling, the first uses a local model correlation and the second derives from a pure stochastic correlation model. Moreover, we explain different routines that have been used for improved calibration
Ma, Lin. "Structures et aléa en finance, une approche par la complexité algorithmique de l'information." Phd thesis, Université des Sciences et Technologie de Lille - Lille I, 2010. http://tel.archives-ouvertes.fr/tel-00839386.
Повний текст джерелаAbdallah, Oussama. "La performance et la sous-évaluation des introductions en bourse : étude des déterminants et des effets de la cotation sur le marché Euronext Paris." Thesis, Paris 13, 2014. http://www.theses.fr/2014PA131040/document.
Повний текст джерелаIn this thesis, we present the effects of the IPO titles owned by the technology sector. Exploration which covers the period 1997-2008 according to a theorical positioning and development assumptions. We conclude with the empirical validation of our samples
Keddad, Benjamin. "Four essays on monetary and financial integration in Asia." Thesis, Aix-Marseille, 2013. http://www.theses.fr/2013AIXM1096/document.
Повний текст джерелаThis thesis proposes four contributions to the study of Asian monetary and financial integration.The first chapter examines to what extent the East Asian exchange rates (ASEAN-5, South Korea) are sensitive to shocks simulated on the US dollar, the euro and the ACU. We show that these countries have moved from a US dollar-based pegging system to a more flexible exchange rate policy, where the weight of the ACU has increased over the last years. The second chapter attempts to analyze the correlation among the ASEAN-5 business cycles. Estimates reveal that correlations are higher during downturns but the process of adjustment to shocks displays idiosyncratic features. We also provide evidence that the signals contained in some leading ASEAN-5 business cycles help predict regime switching in other countries. The third chapter examines the co-movement among the ASEAN-5 real exchange rates through the generalized purchasing power parity (Enders and Hurns, 1994, 1997). We find that real exchange rates are tied through a long memory process, supporting further monetary integration among different sub-groups of the ASEAN-5.In the last chapter, we investigate to what extent the stock markets in Asia (Hong Kong, Japan, ASEAN-5) are integrated. Our results reveal that the stock market volatilities in developed countries share a common stochastic trend. Conversely, emerging markets appear to be segmented from both each other and global markets
Ben, Amor Abderaouf. "Essais sur l'évaluation de la prime de risque : Cas de la crise financière des subprimes." Thesis, Paris 8, 2016. http://www.theses.fr/2016PA080013/document.
Повний текст джерелаThis thesis aims primarily to explain the enigma of the risk premium by assessing the impact of the recent financial subprime crisis in the United States on the risk premium. Since the systematic risk factor remains the major factor in the risk premium, we used a conditional version of the CAPM to study the impact of the crisis on the conditional beta using econometric specification as the multivariate GARCH ( BEKK) Engel and Kroner (1995). The subprime crisis that started in late 2007 with the collapse of the US housing market, first had an impact on the local financial sector. But it gained momentum, spreading to other major financial centers. Long time, risk aversion was not as high and the bankruptcy of investment bank Lehman Brothers in mid-September, was the organ of the crisis developed. In this work, we based on the French stock market and we tried to detect the impact of the financial crisis on the risk premium sector indices. To do this, we tried to show the effect of the crisis on the systematic risk beta indices. First, we created daily by the beta bivariate GARCH (BEKK) Engel and Kroner on the period from January 1, 2007 to December 31, 2014. Then we dropped the beta introducing explanatory variables variance conditional index and the conditional variance of the
Majoul, Amira. "Transmission du cycle économique des Etats Unis au reste du monde : le cas des pays émergents." Thesis, Lyon 2, 2014. http://www.theses.fr/2014LYO22002/document.
Повний текст джерелаThe issue of international transmission cycles has considerably received attention due to the increasing economic and financial globalization. Our thesis is in line with the literature dedicated to this question. More specifically, we focusour attention on the analysis of the transmission cycle of the United States to emerging countries. It consists of three chapters. The first one, based on a new econometric approach in terms of Global VAR model, aims to study the effect of shocks from the U.S. to emerging countries. The main resultconfirms the idea that the United States plays an important role in the transmission of economic cycles given their weight in the world economy. The second chapter proposes to study the financial transmission of the United States by focusing on the subprime crisis on these countries. The estimation of time varyingtransitionprobability (TVTP) Markov switchingmodel indicates that the persistence of financial stress, the tightening of the conditions of the credit and the increase of the risk of Banking solvency constitute the major determinants of the financial transmission. The US stock market volatility is the key factor transmission channel for all the studied countries. The third chapter is devoted to investigate whether emerging countries are able to adopt countercyclical fiscal policies to mitigate the impact from outside. Using the threshold model with smooth transition panel ( the PSTR model ), this chapter confirms that fiscal policy in emerging countries is procyclicalin the slowdown periodand also when public debt exceeds the critical threshold. Therefore, a strong fiscal position is fundamental to ensure macroeconomic stability
Rezaee, Amir. "Le marché des obligations privées à la bourse de Paris au 19ème siècle : performance et efficience d'un marché obligataire." Thesis, Orléans, 2010. http://www.theses.fr/2010ORLE0505/document.
Повний текст джерелаThis thesis studies the French corporate bonds market during the 19th century. Despite its importance the performance of the corporate bonds quoted on the Paris Bourse has never been studied. In order to analyse this market, a price index of the corporate bond market has been created by using modern techniques. The creation of the index was made possible thanks to an original database created by new data, which has never been used before and collected directly from the publications of the market authorities during the nineteenth century. Thanks to the index, the risk and the return of the market have been measured. Then we compared the performance of the French corporate bonds with those of the stocks and government bonds; the results of thecomparisons are interesting. This study demonstrates that the corporate bonds are the least risky securities and their rate of return is higher than the government bonds during the nineteenth century. Some econometric tests have also been used to compare the efficiency of bond market with the other segments of the Paris Bourse
Belsuz, Autran. "Tests de l'efficience faible à partir des ondelettes de Haar." Thesis, La Réunion, 2017. http://www.theses.fr/2017LARE0061/document.
Повний текст джерелаThis 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
Lahmiri, Salim. "L'effet des variables macroéconomiques sur la volatilité des marchés boursiers." Mémoire, 2006. http://www.archipel.uqam.ca/2880/1/M9367.pdf.
Повний текст джерелаSengsay, Julie Viengsavanh. "La crise financière de 2008 : la volatilité des marchés boursiers canadien et américain." Mémoire, 2013. http://www.archipel.uqam.ca/5455/1/M12950.pdf.
Повний текст джерелаFares, Carole. "Estimation et prévision de la volatilité de l'indice S&P 500." Mémoire, 2008. http://www.archipel.uqam.ca/1217/1/M10429.pdf.
Повний текст джерелаAzzi, Georges. "Le Modèle de Heston et l'estimation de la volatilité de l'indice S&P500." Mémoire, 2008. http://www.archipel.uqam.ca/1226/1/M10410.pdf.
Повний текст джерелаRuffa, Michel. "Information, rendement, stratégies neutres et limites à l'arbitrage en bourse suisse (1993-2000) /." 2004. http://proquest.umi.com/pqdweb?did=813771411&sid=21&Fmt=2&clientId=9268&RQT=309&VName=PQD.
Повний текст джерела