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

hal.structure.identifier
dc.contributor.authorLasry, Jean-Michel*
hal.structure.identifier
dc.contributor.authorLions, Pierre-Louis*
dc.date.accessioned2011-05-30T07:52:36Z
dc.date.available2011-05-30T07:52:36Z
dc.date.issued2007
dc.identifier.issn0294-1449
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6340
dc.language.isoenen
dc.subjecttrading strategy
dc.subjectmarket dynamics
dc.subjectguesses
dc.subjectBlack–Scholes paradigm
dc.subjectoption prices
dc.subject.ddc519en
dc.subject.classificationjelG11en
dc.subject.classificationjelG12en
dc.titleInstantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenOur 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.
dc.relation.isversionofjnlnameAnnales de l'Institut Henri Poincaré (C) Analyse non linéaire
dc.relation.isversionofjnlvol24
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2007
dc.relation.isversionofjnlpages361-368
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.anihpc.2005.12.005
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2019-02-22T17:36:55Z
hal.author.functionaut
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