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La gestion collective dans un marché agité : la dynamique des styles à partir des cartes de Kohonen

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  • Catherine Aaron
  • Sébastien Galanti
  • Yamina Tadjeddine

Abstract

Asset management in turbulent marketsanalyzing investment styles dynamics The aim of this paper is to observe the group dynamic of fund managers during an interesting period: January 99- July 02 that includes many financial events as financial cracks, high speculation on new technologies,... We defined a strategy as the sensitivity to French stock market indexes. We projected strategies on a Kohonen Map. We propose a new approach to analyse the group dynamic by studying moving on this map.

Suggested Citation

  • Catherine Aaron & Sébastien Galanti & Yamina Tadjeddine, 2004. "La gestion collective dans un marché agité : la dynamique des styles à partir des cartes de Kohonen," Revue d'économie politique, Dalloz, vol. 114(4), pages 507-526.
    • Handle: RePEc:cai:repdal:redp_144_0507
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    References listed on IDEAS

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    1. Louis K. C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 2002. "On Mutual Fund Investment Styles," The Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1407-1437.
    2. Goetzmann, William N. & Massa, Massimo, 2002. "Daily Momentum and Contrarian Behavior of Index Fund Investors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(3), pages 375-389, September.
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    1. repec:spo:wpmain:info:hdl:2441/36r82bk74h9hiai5p7mros4j61 is not listed on IDEAS
    2. Claude DUPUY & Matthieu MONTALBAN & Sylvain MOURA, 2009. "Finance and Industrial Dynamics (In French)," Cahiers du GREThA (2007-2019) 2009-24, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    3. Inès Abdelkafi & Manel Zribi & Rochdi Feki, 2018. "New Classification of Developed and Emerging Countries Based on the Effects of Subprime Crises: Kohonen Map Method," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 9(3), pages 908-927, September.
    4. Olivier Godechot, 2016. "Back in the bazaar: taking Pierre Bourdieu to a trading room," Journal of Cultural Economy, Taylor & Francis Journals, vol. 9(4), pages 410-429, August.
    5. repec:hal:spmain:info:hdl:2441/36r82bk74h9hiai5p7mros4j61 is not listed on IDEAS

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