Efficience ou predictibilite : application au marche boursier parisien
Institution:
Paris 10Disciplines:
Directors:
Abstract EN:
This work emphasizes on the opposition existing between efficiency and predictibility and to be more exact, between the random walk theory and technical analysis. The objectives were the partial empirical validation of the orlean's model and the ising's model and the ex-post prediction of the 1987's crash. To reach these goals, in a first step, a statistical analysis of the random walk theory was done on the basis of tests of autocorrelation, of box and pierce and of the variance ratio then in a second step the performances of speculative strategies relying on croising moving average and variance ratio were studied. The data used were the daily returns of the cac 40 index from 1982 to 1983.
Abstract FR:
Cette these met en evidence l'opposition entre efficience et predictibilite et plus exactement entre marche au hasard et analyse technique. Ce travail constitue, a la fois une validation partielle du modele d'orlean et du modele d'isng et une prevision a posteriori du krach d'octobre 1987. Pour ce faire, il a ete procede d'une part a une analyse statistique de marche au hasard realisee grace a des tests d'autocorrelation, de box et pierce et du ratio de variance et d'autre part, on a etudie les performances de strategies speculatives basees sur des moyennes mobiles croisees et sur le ratio de variance, et ce, sur des donnees journalieres de l'indice cac 40 de 1982 a 1983.