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Introduction au processus d’évolution du prix des actions en temps continu et efficience du marché boursier

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  • Roland GILLET

    (Université Catholique de Louvain)

Abstract

L'objet premier du papier est de présenter les principales hypothèses économiques nécessaires à l'élaboration des processus "Ito" de diffusion en temps continu décrivant l'évolution du rendement des actifs financiers. Le papier discute le degré de généralité de ces hypothèses et fournit également une dérivation utile du lemme d'Ito. Dans le contexte de l'efficience du marché financier, il est démontré qu'un processus Ito ne répond pas de façon générale aux propriétés de la martingale ou du "random walk" pas plus qu'il n'implique que les rendements soient nécessairement normalement distribués.

Suggested Citation

  • Roland GILLET, 1991. "Introduction au processus d’évolution du prix des actions en temps continu et efficience du marché boursier," Discussion Papers (REL - Recherches Economiques de Louvain) 1991015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    • Handle: RePEc:ctl:louvre:1991015
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