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Le marché de Paris a la mémoire courte !

Author

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  • Jean Matouk
  • Jean-Louis Monino

Abstract

[eng] The French market has a short memory ! . This article tries to determine the Gaussian or chaotic nature of the market of Paris, using the Hurst coefficient, the kurtosis parameter and the Lyapunov exponent. First, the authors explain theoretical mechanisms which govern the forming prices. Then, they expose the econometrical analysis. The authors conclude to a non-Gaussian series, invalidating all management based on this assumption. The chaos would be so deterministic and the market endowed with an attractor. . JEL classification : G12, G14 [fre] Cet article tente de déterminer la nature, gaussienne ou chaotique, du marché de Paris à l’aide des coefficients de Hurst, de kurtosis et des exposants de Lyapunov. Avant de présenter cette analyse, les auteurs mènent une brève réflexion théorique sur les mécanismes qui président à la formation des cours. Ils concluent que la série n’est pas gaussienne, ce qui invalide toutes les techniques de gestion fondées sur cette hypothèse. Selon cette étude, le chaos serait alors déterministe et le marché pourvu d’un attracteur. . Classification JEL : G12, G14

Suggested Citation

  • Jean Matouk & Jean-Louis Monino, 2005. "Le marché de Paris a la mémoire courte !," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 133-155.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2005_num_81_4_4016
    DOI: 10.3406/ecofi.2005.4016
    Note: DOI:10.3406/ecofi.2005.4016
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    Citations

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    Cited by:

    1. Boya, Christophe M., 2019. "From efficient markets to adaptive markets: Evidence from the French stock exchange," Research in International Business and Finance, Elsevier, vol. 49(C), pages 156-165.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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