Le chaos en finance. Deux mesures de l'exposant de Lyapunov comme signal de chaos à la bourse de Paris
Journal de la Société de statistique de Paris, Volume 135 (1994) no. 3, pp. 45-71.
@article{JSFS_1994__135_3_45_0,
     author = {Alexandre, Herv\'e},
     title = {Le chaos en finance. {Deux} mesures de l'exposant de {Lyapunov} comme signal de chaos \`a la bourse de {Paris}},
     journal = {Journal de la Soci\'et\'e de statistique de Paris},
     pages = {45--71},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {135},
     number = {3},
     year = {1994},
     language = {fr},
     url = {http://www.numdam.org/item/JSFS_1994__135_3_45_0/}
}
TY  - JOUR
AU  - Alexandre, Hervé
TI  - Le chaos en finance. Deux mesures de l'exposant de Lyapunov comme signal de chaos à la bourse de Paris
JO  - Journal de la Société de statistique de Paris
PY  - 1994
DA  - 1994///
SP  - 45
EP  - 71
VL  - 135
IS  - 3
PB  - Société de statistique de Paris
UR  - http://www.numdam.org/item/JSFS_1994__135_3_45_0/
LA  - fr
ID  - JSFS_1994__135_3_45_0
ER  - 
%0 Journal Article
%A Alexandre, Hervé
%T Le chaos en finance. Deux mesures de l'exposant de Lyapunov comme signal de chaos à la bourse de Paris
%J Journal de la Société de statistique de Paris
%D 1994
%P 45-71
%V 135
%N 3
%I Société de statistique de Paris
%G fr
%F JSFS_1994__135_3_45_0
Alexandre, Hervé. Le chaos en finance. Deux mesures de l'exposant de Lyapunov comme signal de chaos à la bourse de Paris. Journal de la Société de statistique de Paris, Volume 135 (1994) no. 3, pp. 45-71. http://www.numdam.org/item/JSFS_1994__135_3_45_0/

Alexandre H. (1994) L'efficience bruitée. Une analyse non linéaire du marché français des actions, Thèse de doctorat en sciences de gestion, Université de Bourgogne, Dijon, 268 p.

Berge P., Pomeau Y., Vidal C. (1988) L'ordre dans le chaos. Vers une approche déterministe de la turbulence, Hermann, 353 p. | Zbl

Black F. (1986) " Noise", J. of Finance, pp. 529-543.

Blank S.C. (1991) " Chaos in futures markets ? A Nonlinear Dynamical Analysis", J. Futures Markets, pp. 711-728.

Brock W.A. (1986) " Distinguished Random and Deterministic Systems", J. Economic Theory, pp. 168-195. | MR | Zbl

Brock W.A., Dechert W., Scheinkman J. (1987) A Test for independance Based on the Correlation Dimension, Document non publié, University of Wisconsin at Madison, University of Houston and University of Chicago.

Brock W.A., Malliaris A.G. (1989) Differential equations, Stability and Chaos in Dynamics Economics, North-Holland, Advanced Textbooks in Economics, 389 p. | MR | Zbl

Brorsen B.W., Yang S.R. (1993) " Nonlinear Dynamics of Daily Futures Prices : Conditional Heteroskedasticity or chaos", J . of Futures Markets, pp. 175-191.

Chua L.O., Parker T.S. (1989) Practical Numerical Algorithms for Chaotic Systems, Springer-Verlag, 348 p. | MR | Zbl

Decoster G.P., Labys W.C., Mitchell D.W. (1992) " Evidence of Chaos in Commodity Futures Prices", J . Futures Markets, pp. 291-305.

Dechert W. (1988) A Characterization of Independence for a Gaussian Proces in terms of the Correlation Dimension, Worlring paper 8812, University of Wisconsin at Madison.

Eckmann J.-P., Ruelle D., (1985) " Ergodic Theory of Chaos and Strange Attractors", R. Modem Physics, pp. 617-656. | MR | Zbl

Girerd-Potin I., Taramasco O. (1994) " Les rentabilités à la bourse de paris sont-elles chaotiques ?", R. Economique, pp. 215-238.

Grassberger P., Procaccia I. (1983) " Measuring the Strangeness of Strange Attractors", Physica 9D, pp. 189-208. | MR | Zbl

Hsieh D.A. (1989) " Testing for Nonlinear Dependence in Daily foreign Exchange Rates", J. of Business, pp. 339-368.

Hsieh D.A. (1989) " Chaos and Nonlinear Dynamics : Application to Financial Markets", J. of Finance, pp. 1839-1877.

Hsieh D.A., Lebaron D.A. (1988) Finite Sample Properties of the BDS Statistic, Manuscript non publié, University of Chicago et University of Wisconsin at Madison.

Kaashoek J.F., Van Dijk H.K. (1991) Evaluation and Application of Numerical Procedures to Calculate Lyapunov Exponents, cahier 9173/A, Erasmus University, Rotterdam, p. 38.

Kyle A.S. (1985) " Continuous Auctions and Insider Trading", Econometrica, pp. 1315-1335. | Zbl

Lebaron B. (1989) " Nonlinear Dynamics and Stock Returns", J. of Business, pp. 311-337.

Lo A., Mackinlay C. (1988) " Stock Market Prices do not Follow Random Walk : Evidence from a Simple Specification Test", R. of Financial Studies, pp. 41-66.

Mandelbrot B. (1975) Les objets fractals : forme, hasard et dimension, (3e édition, 1989), Nouvelle Bibliothèque Scientifique, Flammarion, 268 p. | MR | Zbl

Peters E.E. (1991) Chaos and order in the Capital Marcket. A new View of Cycles, Prices, and Market Volatility, J. Wiley, 240 p.

Poincaré H. (1890) " Sur le problème des trois corps et les équations de la dynamique", Acta Mathematica, tome 13, pp. 1-270. | JFM

Ruelle D., Takens F. (1971) " On the Nature of Turbulence", Communications on Mathematical Physics, pp. 167-192. | MR | Zbl

Takens F. (1981) " Detecting Strange Attractors in Turbulence", in Dynarmcal Systems and Turbulence, D.A. Rand and L.S. Young, Springer-Verlag, Berlin. | MR | Zbl

Wolf A., Swift J.B., Swinney H.L., Vastano J.A. (1985) " Determining Lyapunov Exponents from a time Serie", Physica 16D, pp. 285-317. | MR | Zbl