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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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  • C. Aaron
  • Sébastien Galanti

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Y. 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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • C. Aaron & Sébastien Galanti & Y. Tadjeddine, 2004. "La gestion collective dans un marché agité : La dynamique des styles à partir des cartes de Kohonen," Post-Print halshs-00224515, HAL.
    • Handle: RePEc:hal:journl:halshs-00224515
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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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    Cited by:

    1. 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.
    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. repec:hal:spmain:info:hdl:2441/36r82bk74h9hiai5p7mros4j61 is not listed on IDEAS
    5. repec:spo:wpmain:info:hdl:2441/36r82bk74h9hiai5p7mros4j61 is not listed on IDEAS

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