• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail - Request a copy

Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values

Lasry, Jean-Michel; Lions, Pierre-Louis (2007), Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values, Annales de l'Institut Henri Poincaré (C) Analyse non linéaire, 24, 3, p. 361-368. http://dx.doi.org/10.1016/j.anihpc.2005.12.005

Type
Article accepté pour publication ou publié
Date
2007
Journal name
Annales de l'Institut Henri Poincaré (C) Analyse non linéaire
Volume
24
Number
3
Publisher
Elsevier
Pages
361-368
Publication identifier
http://dx.doi.org/10.1016/j.anihpc.2005.12.005
Metadata
Show full item record
Author(s)
Lasry, Jean-Michel

Lions, Pierre-Louis
Abstract (EN)
Our goal here is to present various examples of situations where a “large” investor (i.e. an investor whose “size” challenges the liquidity or the depth of the market) sees his long-term guesses on some important financial parameters instantaneously confirmed by the market dynamics as a consequence of his trading strategy, itself based upon his guesses. These examples are worked out in the context of a model (i.e. a quantitative framework) which attempts to provide a rigorous basis for the qualitative intuitions of many practitioners. Our results may be viewed as some kind of reverse Black–Scholes paradigm where modifications of option prices affect today's real volatility.
Subjects / Keywords
trading strategy; market dynamics; guesses; Black–Scholes paradigm; option prices
JEL
G11 - Portfolio Choice; Investment Decisions
G12 - Asset Pricing; Trading Volume; Bond Interest Rates

Related items

Showing items related by title and author.

  • Thumbnail
    A Long-Term Mathematical Model for Mining Industries 
    Achdou, Yves; Giraud, Pierre-Noël; Lasry, Jean-Michel; Lions, Pierre-Louis (2016) Article accepté pour publication ou publié
  • Thumbnail
    A class of short-term models for the oil industry addressing speculative storage 
    Achdou, Yves; Bertucci, Charles; Lasry, Jean-Michel; Lions, Pierre-Louis; Rostand, Antoine; Scheinkman, José (2020) Document de travail / Working paper
  • Thumbnail
    Long time average of mean field games 
    Cardaliaguet, Pierre; Lasry, Jean-Michel; Lions, Pierre-Louis; Porretta, Alessio (2012) Article accepté pour publication ou publié
  • Thumbnail
    Long Time Average of Mean Field Games with a Nonlocal Coupling 
    Porretta, Alessio; Lions, Pierre-Louis; Lasry, Jean-Michel; Cardaliaguet, Pierre (2013) Article accepté pour publication ou publié
  • Thumbnail
    Towards a self-consistent theory of volatility 
    Lasry, Jean-Michel; Lions, Pierre-Louis (2006) Article accepté pour publication ou publié
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo