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Les modèles fractals en finance

Author

Listed:
  • IDIER, J.

Abstract

Pour rappeler l’apport du mathématicien Benoît Mandelbrot, connu pour la théorie des fractales élaborée dès les années 1960 et décédé le 14 octobre 2010, ce court article présente la pertinence économique de sa théorie pour la modélisation des marchés financiers, des événements extrêmes ou encore des phénomènes de contagion.

Suggested Citation

  • Idier, J., 2011. "Les modèles fractals en finance," Bulletin de la Banque de France, Banque de France, issue 183, pages 80-86.
    • Handle: RePEc:bfr:bullbf:2011:183:07
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    File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/bulletin-de-la-banque-de-france_183_2011-t1.pdf
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    More about this item

    Keywords

    fractale; crise; contagion.;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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