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Introduction aux processus d'évolution du prix des actions en temps continu et efficience du marché boursier

Published online by Cambridge University Press:  17 August 2016

Roland Gillet
Roland Gillet*
Affiliation:
Université Catholique de Louvain
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Résumé

L’objet premier du papier est de présenter les principales hypothèses économiques nécessaires à l’élaboration des processus “Itô” 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’Itô. Dans le contexte de l’efficience du marché financier, il est démontré qu’un processus Itô 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.

Summary

Summary

The primary focus of the paper is on the main economic assumptions that are sufficient for financial returns to be distributed according to Itô diffusion processes. The paper discusses the degree of generality of these assumptions and also provides a useful derivation of Itô’s lemma. In the context of the efficient market hypothesis it is shown that an Itô process in itself does not imply that prices follow a martingale or a random walk nor that returns are necessarily normally distributed.

Keywords

313313
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 57 , Issue 1 , 1991 , pp. 77 - 93
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1991 

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Footnotes

*

L'auteur tient à remercier Ronald Anderson, Robert Cobbaut, Benjamin Friedman, Alexis Jacquemin, Albert Minguet, Franco Modigliani, Alain Siaens, ainsi que les participants au séminaire des doctorants à l'Université Catholique de Louvain et au séminaire de finance au Massachusetts Institute of Technology, pour leurs remarques et suggestions. Il est specialement reconnaissant à Robert Merton pour ses nombreux conseils et au Fonds National Belge de la Recherche Scientifique pour son aide financière. De toute évidence, l'auteur conserve seul la responsabilité des erreurs ou imperfections éventuelles.

References

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