{"id":1047,"date":"2013-01-20T21:35:33","date_gmt":"2013-01-20T20:35:33","guid":{"rendered":"https:\/\/www.simtrade.fr\/site\/simtrade\/cas_x\/blog\/?p=1047"},"modified":"2013-01-20T21:35:33","modified_gmt":"2013-01-20T20:35:33","slug":"simtrade-et-la-recherche-en-finance-comportmentale","status":"publish","type":"post","link":"https:\/\/www.simtrade.fr\/blog_simtrade\/simtrade-et-la-recherche-en-finance-comportmentale\/","title":{"rendered":"SimTrade et la recherche en finance comportementale"},"content":{"rendered":"

Bonjour,<\/p>\n

Je reviens vers vous \u00e0 propos de la simulation Pour l’amour du bl\u00e9<\/a> qui peut \u00eatre jou\u00e9e actuellement dans le cadre du concours de SimTrading jusqu’au 28 f\u00e9vrier 2013. La base de donn\u00e9es de simulations lanc\u00e9es pendant ce concours sera utilis\u00e9e dans le cadre d’une recherche sur la finance comportementale.<\/p>\n

La simulation Pour l’amour du bl\u00e9<\/i><\/h2>\n

Dans cette simulation, vous savez ce qui va se passer \u00e0 l’avance ! L’entreprise Bl\u00e9 de France a r\u00e9pondu \u00e0 l’appel d\u2019offre de McD Fast food (un g\u00e9ant de la restauration rapide) pour la fabrication des petits pains pour les burgers. Le r\u00e9sultat de l’appel d’offre doit \u00eatre annonc\u00e9 d’ici la fin de la journ\u00e9e. Et vous connaissez d\u00e9j\u00e0 le r\u00e9sultat de l’appel d’offre !<\/p>\n

Si l’entreprise Bl\u00e9 de France remporte l’appel d\u2019offre, cela se traduira par des profits substantiels et, d’apr\u00e8s le consensus de march\u00e9, le cours de l’action devrait s’\u00e9tablir aux alentours de 120 euros. Dans le cas contraire, l’entreprise Bl\u00e9 de France restera soumise aux al\u00e9as de la conjoncture (peu favorable) et le cours de l’action devrait s’\u00e9tablir aux alentours de 80 euros.<\/p>\n

Au d\u00e9but de la journ\u00e9e, le cours de l’action est de 100 euros et vous savez que l’entreprise Bl\u00e9 de France remportera l’appel d’offre et donc que le cours de l’action grimpera vers les 120 euros d’ici la fin de la journ\u00e9e.<\/strong><\/p>\n

Comment allez-vous utiliser votre information privil\u00e9gi\u00e9e ? Quelle strat\u00e9gie de trading allez-vous mettre en oeuvre ? Telle est la question…<\/p>\n

Recherche en finance exp\u00e9rimentale<\/h2>\n

Les simulations lanc\u00e9es par les SimTraders permettront de mieux comprendre le comportement des individus en termes de d\u00e9cisions financi\u00e8res. Plus particuli\u00e8rement, la simulation Pour l’amour du bl\u00e9<\/i> mettra en \u00e9vidence comment les individus construisent leur strat\u00e9gie de trading, la fa\u00e7on dont ils int\u00e8grent l’information et g\u00e8rent l’incertitude.<\/p>\n

De nombreux travaux se sont d\u00e9j\u00e0 pench\u00e9s sur cette question. On peut en particulier citer les travaux pionniers de Peter Kyle Continuous Auctions and Insider Trading<\/a> publi\u00e9 dans la revue Econometrica<\/i> (1985). Kyle s’int\u00e9resse \u00e0 l’utilisation d’une information privil\u00e9gi\u00e9e de fa\u00e7on optimale. On pourra aussi lire mes travaux sur l’asym\u00e9trie d’information en p\u00e9riode de volatilit\u00e9<\/a> publi\u00e9s dans Review of Financial Studies<\/i> (1997). Ces travaux ont d’ailleurs inspir\u00e9 le mod\u00e8le math\u00e9matico-financier de SimTrade pour la simulation r\u00e9aliste des march\u00e9s financiers.<\/p>\n

\n\"\"<\/a> Acc\u00e9der \u00e0 la simulation Pour l’amour du bl\u00e9<\/i><\/a>\n<\/div>\n

<\/p>\n

\n\"\"<\/a><\/div>\n

<\/p>\n","protected":false},"excerpt":{"rendered":"

Bonjour, Je reviens vers vous \u00e0 propos de la simulation Pour l’amour du bl\u00e9 qui peut \u00eatre jou\u00e9e actuellement dans le cadre du concours de SimTrading jusqu’au 28 f\u00e9vrier 2013. La base de donn\u00e9es de simulations lanc\u00e9es pendant ce concours sera utilis\u00e9e dans le cadre d’une recherche sur la finance comportementale. La simulation Pour l’amour … Read more<\/a><\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_jetpack_memberships_contains_paid_content":false,"footnotes":""},"categories":[20],"tags":[],"class_list":["post-1047","post","type-post","status-publish","format-standard","hentry","category-research"],"yoast_head":"\nSimTrade et la recherche en finance comportementale - SimTrade blog<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.simtrade.fr\/blog_simtrade\/simtrade-et-la-recherche-en-finance-comportmentale\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"SimTrade et la recherche en finance comportementale\" \/>\n<meta property=\"og:description\" content=\"Bonjour, Je reviens vers vous \u00e0 propos de la simulation Pour l’amour du bl\u00e9 qui peut \u00eatre jou\u00e9e actuellement dans le cadre du concours de SimTrading jusqu’au 28 f\u00e9vrier 2013. 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