WorldCat Identities

Francois-Heude, Alain

Overview
Works: 15 works in 20 publications in 2 languages and 31 library holdings
Genres: Academic theses 
Roles: Thesis advisor, Author, 958
Publication Timeline
.
Most widely held works by Alain Francois-Heude
Evaluation par arbitrage des obligations : le cas des obligations à taux d'intérêt variable by Alain François-Heude( )

5 editions published between 1988 and 2019 in French and held by 10 WorldCat member libraries worldwide

L'arbitrage du contrat à terme sur indice CAC 40 : valorisation, dynamique et microstructure by Pascal Bernard Alphonse( Book )

2 editions published in 1997 in French and held by 3 WorldCat member libraries worldwide

THIS WORK DEALS WITH THE PROCESS OF PRICE FORMATION IN THE FRENCH STOCK INDEX MARKET AND STOCK INDEX FUTURES MARKET. MOST OF THE ANALYSIS IS CONCERNED WITH THE ROLE ARBITRAGEURS PLAY IN THIS JOIN DYNAMICS. THE INVESTIGATION IS BASED ON INTRADAY TIME STAMPED DATA (PRICE, QUOTES, ORDERS AND DEPTH AT THE BEST QUOTES) RECORDED IN 1994 AND 1995 BY THE SBF, THE FRENCH STOCK EXCHANGE, AND THE MATIF, THE FRENCH FUTURES MARKETS. WE FIRST SHOW THAT THE MARKET FRICTIONS MAKE THE ARBITRAGE DECISION A STRATEGIC ONE, WHAT IS IN ACCORD WITH EMPIRICAL FINDINGS. THE ACTION OF ARBITRAGEURS DEPENDS ON LIQUIDITY PRESSURE AND/OR INFORMATION ARRIVAL. THE HYPOTHESIS OF AN INFORMATIONAL ADVANTAGE OF THE FUTURES MARKET IS ALSO ANALYZED. WE SHOW THAT HALF OF THE CONDITIONAL VARIANCE OF THE STOCK INDEX RETURNS, AS REPRESENTED BY A GARCH PROCESS, IS INDEED EXPLAINED BY ARBITRAGE TRADING, BUT ONLY TWENTY PERCENT OF THE VARIANCE OF THE FUTURES. WE NEXT ANALYZE THE COMPETITIVE STRUCTURE OF ARBITRAGE TRADING IN PARIS. WE CANNOT REJECT THE HYPOTHESIS OF A COMPETITIVE/OLIGOPOLISTIC STRUCTURE OF ARBITRAGE. MISPRICINGS ARE THEN QUITE WE FIND EVIDENCE FOR BOTH AN INFORMATION EFFECT AND A LIQUIDITY EFFECT OF ARBITRAGE TRADING, EVEN IF THE BEHAVIOR OF THE BASIS IS TAKEN INTO ACCOUNT. NEVERTHELESS, THE LIQUIDITY EFFECT DOES NOT AFFECT THE PRICE FORMATION PROCESS IN THE LONG RUN. THE INCENTIVE MECHANISM OF LIQUIDITY PROVISION EXPLAINS THIS EMPIRICAL FINDING
Le rôle informationnel des annonces : une étude intrajournalière sur Euronext Paris by Waël Louhichi( Book )

1 edition published in 2004 in French and held by 2 WorldCat member libraries worldwide

THIS STUDY IS INCLUDED IN THE FIELD OF MARKET MICROSTRUCTURE. THE GOAL OF THIS WORK IS TO EXAMINE MARKET BEHAVIOR AROUND THE TIMES OF PUBLIC INFORMATION MADE IN THE PARIS BOURSE.IN THE FIRST CHAPTER, WE PROPOSE TO STUDY INTRADAY SPEED OF ADJUSTEMENT OF STOCK PRICES TO NEW INFORMATION.THE AIM OF THE SECOND CHAPTER IS TO EXAMINE ASYMMETRIC INFORMATION AROUND EARNINGS ANNOUNCEMENTS.IN THE THIRD CHAPTER, WE STUDY INVESTORS' BAHAVIOR AROUND PUBLIC INFORMATION.THE LAST CHAPTER DEALS WITH INTRADAY RELATION BETWEEN INFORMATION FLOW AND MARKET ACTIVITY
FORMATION DES PRIX ET LIQUIDITE SUR LE MATIF by Stéphane Dubreuille( Book )

1 edition published in 1999 in French and held by 2 WorldCat member libraries worldwide

L'OBJECTIF DE NOTRE RECHERCHE EST L'ANALYSE DE LA LIQUIDITE DES CONTRATS A TERME FERMES PROPOSES PAR LE MATIF. NOUS AVONS MODELISE LA FORMATION DES PRIX TRAITES SOUS LES HYPOTHESES D'ANTICIPATIONS RATIONNELLES ET DE COMPORTEMENTS STRATEGIQUES DES OPERATEURS EN COUVERTURE ET DES SPECULATEURS. NOUS MONTRONS QUE LEURS STRATEGIES OPTIMALES SONT DES FONCTIONS DE LA QUALITE DE L'INFORMATION, DE L'HETEROGENEITE DES BESOINS DE COUVERTURE, DE L'ATTITUDE FACE AU RISQUE, DU NOMBRE D'ACTEURS PRESENTS SUR LE MARCHE ET DE LA SENSIBILITE DES PRIX COTES PAR LES NEGOCIATEURS POUR COMPTE PROPRE A LA TAILLE DES ORDRES PLACES. CETTE FORMALISATION EST COMPLETEE PAR UNE ETUDE EMPIRIQUE DE LA LIQUIDITE DU SYSTEME ELECTRONIQUE DE TRANSACTION ET DE COTATION, NSC-VF. NOUS AVONS CONSTATE DES SAISONNALITES COINCIDANT AVEC LES DIFFUSIONS D'INFORMATIONS SUR LE MARCHE
Les ordres cachés sur Euronext : un compromis stratégique entre liquidité et transparence by Catherine d' Hondt( Book )

1 edition published in 2003 in French and held by 2 WorldCat member libraries worldwide

The first part of our work is devoted to a both theorical and empirical analysis of hidden order use on Euronext. First of all, we expose the necessary concepts to understand the context in which hidden orders were created and evolve now. We also describe exhaustively the market structure of Euronext. In the second part of our work, we examine the magnitude of hidden order use for the stocks belonging to the CAC40 index. We first highlight significant differences between hidden order placement and usual order submission. Then, we test the hypothesis that hidden orders are used by informed traders to get profit
ANALYSE DES DEFORMATIONS DE LA STRUCTURE DES TAUX PAR LE TERME by Muriel Petit-Konczyk( Book )

1 edition published in 1992 in French and held by 2 WorldCat member libraries worldwide

WE DEVELOP A MODEL OF THE TERM STRUCTURE OF INTEREST RATES BY INCORPORATING TWO STATE VARIABLES, THE SHORT-TERM INTEREST RATE AND THE LONG-TERM INTEREST RATE. OUR EXPLICIT SOLUTION EXTENDS VASICEK'S MODEL. THE CORRELATION COEFFICIENT IN THE PARTIAL DIFFERENTIAL EQUATION FOR PRICE IS DIFFERENT FROM ZERO. OUR MODEL LEADS TO AN ANALYSIS OF THE DEFORMATION OF THE TERM STRUCTURE OF INTEREST RATES. WE EXPLAIN THE IMPACT OF THE TWO STATE VARIABLES, THE SPEEDS OF ADJUSTMENT, THE NORMAL LONG-TERM RATE AND THE INCERTITUDE PARAMETERS WHEN THE STRUCTURE IS INCREASING, DECREASING OR SHOWING MORE COMPLEX SHAPES, WITH HUMPS, TROUGHS AND INFLEXION POINTS, WE FIND ALSO AN ANALYTICAL EXPRESSION FOR TWO INDICATORS WHICH INDUCE THESE VARIOUS TYPES OF YIELD CURVES. THESE INDICATORS ARE CALLED INSTANTANEOUS BOUNDS, AND INSTANTANEOUS FIELD AND TENSION AREAS. WE ALSO MODIFY THE OPTIMUM CONDITIONS OF THE YIELD FUNCTION IN COX INGERSOLL ROSS'S MODEL OF THE TERM STRUCTURE OF INTEREST RATES. BY ESTIMATING OUR INDICATORS ON THE FRENCH MARKET, WE OBTAIN AN IMAGE WHICH INDICATES SIMULTANEOUSLY ALL THE TERM STRUCTURE SHAPES FOR THE 1987-1992 PERIOD. FINALLY, WE VERIFY EMPIRICALY THE FLEXIBILITY OF SOME ECONOMETRIC METHODS FITTING SPOT RATES CURVE FROM A SERIE OF FRENCH TREASURY BONDS
ANALYSE DES MEILLEURES LIMITES DU CARNET D'ORDRES : APPLICATION A LA BOURSE DE PARIS by Fany Declerck( Book )

1 edition published in 2000 in French and held by 2 WorldCat member libraries worldwide

L'INTRODUCTION DE CARNETS D'ORDRES SUR LES MARCHES AMERICAINS ET LONDONIENS, L'ADOPTION DU SYSTEME DE NEGOCIATION NSC DANS UNE VINGTAINE DE PAYS, ET L'INTRODUCTION DE SPECIALISTES POUR ASSURER LA LIQUIDITE DES MARCHES DIRIGES PAR LES ORDRES ILLUSTRENT LA CONVERGENCE VERS UNE STRUCTURE MIXTE. LE MODE D'ORGANISATION DES ECHANGES ET LES CARACTERISTIQUES DES OFFREURS DE LIQUIDITE INFLUENCENT LA QUALITE DU MARCHE. UN CERTAIN NOMBRE DE QUESTIONS SE POSENT TOUTEFOIS QUANT A LA PRATIQUE DE TENUE DE MARCHE DES NEGOCIATEURS MEMBRES DU MARCHE. C'EST POURQUOI NOUS AVONS PRINCIPALEMENT MIS EN EVIDENCE L'EXISTENCE D'UNE NOUVELLE CATEGORIE D'AGENTS PRESENTS SUR UNE STRUCTURE DE MARCHE BASEE SUR UN CARNET D'ORDRES CENTRAL ET D'AUTRE PART MIS EN PERSPECTIVE LEUR COMPORTEMENT AU REGARD DE L'ETAT DU CARNET D'ORDRES ET DES COUTS DE TRANSACTION. LE VOLUME ECHANGE PAR LES NEGOCIATEURS POUR COMPTE PROPRE REPRESENTE 27%. LA DUALITE AGENT-PRINCIPAL DES NEGOCIATEURS TRADUIT UNE SITUATION DE CONCURRENCE ENTRE LES INVESTISSEURS PARTICULIERS ET CES DUAL TRADERS POUR L'OFFRE DE LIQUIDITE. LES RESULTATS MONTRENT QUE LE FLUX D'ORDRES DES DUAL TRADERS S'ACCELERE A L'INTERIEUR DE LA FOURCHETTE POUR GAGNER LA PRIORITE TEMPS LORS D'UN ELARGISSEMENT ANORMAL DE LA FOURCHETTE. ILS MODIFIENT LA COMPOSITION DU FLUX D'ORDRES EN QUI PLACANT PLUS D'ORDRES A COURS LIMITE QUE D'ORDRES A EXECUTION IMMEDIATE POUR GARANTIR, CONTRE UNE REMUNERATION PLUS IMPORTANTE, LA CONTREPARTIE AUX ORDRES DES INVESTISSEURS PARTICULIERS. L'ACTIVITE DES DUAL TRADERS EST PLUS IMPORTANTE LORS DES FIXINGS D'OUVERTURE ET DE CLOTURE QUE PENDANT LA PHASE DE COTATION EN CONTINU. MEME SI LES DUAL TRADERS NE PRATIQUENT PAS LE FRONT-RUNNING, ILS OBTIENNENT DES PRIX ET DES DELAIS D'EXECUTION DE LEURS ORDRES PLUS FAVORABLES QUE LES ORDRES EN COMPTE CLIENT. LES DUAL TRADERS CONTROLENT DONC LE CARNET AFIN DE REPONDRE A LA DEMANDE DE LIQUIDITE. LA STRUCTURE MIXTE DU MARCHE PARISIEN EST AINSI MISE EN EVIDENCE
ANTICIPATIONS DIRECTIONNELLES, ANTICIPATIONS DE VOLATILITE ET CONTENU INFORMATIF DU FLUX D'ORDRES SUR LES MARCHES A TERME ET D'OPTIONS by David Bourghelle( Book )

1 edition published in 1995 in French and held by 1 WorldCat member library worldwide

THE MAIN IDEA OF THIS WORK IS THAT THE PRISE DYNAMICS OF A DERIVATIVE ASSET IS NOT UNILATERALY DUE TO THE PRICE MOVEMENT OF THE UNDERLYING ASSET. BECAUSE OF THE EXISTENCE OF FRICTIONS AND INFORMATION ASYMMETRIES BETWEEN TRADERS, FUTURES AND OPTIONS MARKETS CONTRIBUTE TO THE PRICE DISCORVERY PROCESS. THUS, THE ORDER FLOW RECORDED ON OPTIONS MARKETS CONVEYS NOT ONLY EXPECTATIONS OF A POSSIBLE EVOLUTION OF THE UNDERLYING PRICE, BUT ALSO ITS FUTURE VOLATILITY. ANALYTICAL TOOLS DEVELOPED WITHIN THE THEORY OF THE MICROSTRUCTURE OF FINANCIAL MARKETS ARE NATURALLY EXPANDED TO DERIVATIVE MARKETS. THE ISSUE OF THIS WORK IS TO ACHIEVE AN INTEGRATED EXPLANATION OF THE MATIF FUTURES AND OPTIONS CONTRACTS TRADING PRACTICE, AND OF THE FUNDAMENTAL PRINCIPLES AND THEORITICAL RESULTS OF PRICE FORMATION MODELS WITH ASYMETRIC INFORMATIO. PRESIDES, WE STUDY THE INCORPORATION OF DIRECTIONAL AND VOLATILITY EXPECTATIONS OF THE AGENTS IN IMPLIED VOLATILITY BID-ASK SPREADS, QUOTED BY THE MARKET MAKERS WHO PROVIDE LIQUIDITY SERVICES. THEREFORE, WE TRY TO EXPLAIN SOME PHENOMENA THAT OPTIONS TRADERS OFTEN MEET, SUCH AS VOLATILITY SMILES. FINALLY, WE PROVIDE AN EMPIRICAL ILLUSTRATION OF OUR OUTCOMES FROM INTRA-DAY TRANSACTION PRICES AND QUOTATIONS, OFFERED BY MARKET MAKORS ON THE MATIF
MODELES A VOLATILITE STOCHASTIQUE : UNE APPROCHE ANALYTIQUE DES OPTIONS : APPLICATION SUR LE MONEP by ABDELLAHE OULD BABOU( Book )

1 edition published in 1994 in French and held by 1 WorldCat member library worldwide

THIS THESIS PRESENTS A THEORITICAL APPROACH OF STOCHASTIC OPTION PUCING MODELS. WE PROVIDE OUR ANALYTIC SOLUTION OF THREE DIFFERENT VOLATILITY SPECIFICATION UNDER LOGNORMALITY PROCESS. THE SECOND RELIES ON THE VOLUME-VOLATILITY RELATIONSHIP SO AS TO INFER A PROCESS BASED ON UNANTICIPATED RISE A TRANSACTION VOLUME. THE THIRD MODEL SPECIFIE A MEAN-REVERTING PROCESS ON THE VOLATILITY OBESERVED EMPIRICALLY IN MANY FINANCIAL RESEARCH. THESES MODELS ARE EMPIRICALLY TESTED WITH PUCE AND DATA FROM THE MONEP. WE MEASURE EMPIRICALLY BIARS FROM THE TRADITIONNAL BLACK-SHOLES MODEL. - WE PROVIDE AN ANALYTIC SOLUTION FOR STOCHASTIC VOLATILITY MODELS - WE PRESENT AN EMPIRICAL APPLICATION OF THESE SOLUTION ON THE FRENCH OPTION MARKET
Rendements intrajournaliers et flux informationnel : une étude sur Euronext Paris by Alexis Cellier( Book )

1 edition published in 2003 in French and held by 1 WorldCat member library worldwide

L'explosion de la volatilité des marchés financiers pose de manière évidente la question d'un lien à l'information. Cette étude apporte des éclairages empiriques sur la relation entre l'information et le processus d'échange. Nous abordons cette question sous deux angles complémentaires. Nous comparons d'abord plusieurs approximations du flux informationnel. Ensuite, nous analysons les relations entre les différentes composantes du processus d'échange (transactions et carnet d'ordres). La comparaison des différentes approximations de l'information suggère que les meilleures sont par ordre décroissant: - le nombre de transactions; - le volume de transactions; - le nombre d'ordres; - le volume d'ordres. La progressivité de ces études du marché français autorise la comparaison des résultats des différentes méthodologies. Nous avons observé que l'agrégation des données par intervalle et la non prise en compte d'une partie de l'ensemble informationnel conduit à une vision partielle et biaisée des relations. L'organisation du marché parisien, dirigé par les ordres, confère une place centrale au carnet d'ordres. Il ressort que les agents peuvent se limiter à l'observation de celui-ci puisque les caractéristiques des transactions (volume, duration) n'ont plus d'influence significative lorsque les effets des variables du carnet d'ordres sont inclus. Les relations mises en évidence entre les variables soulignent que la principale force est la fourniture de liquidité. Les périodes de forte (faible) activité semblent associées à l'absence (la présence) d'informés
Obligations convertibles : stratégie de conversion des obligataires et politique de call de l'émetteur by David Verstraete( Book )

1 edition published in 1998 in French and held by 1 WorldCat member library worldwide

NOWADAY, CONVERTIBLE BONDS ARE A GREAT DRAW. GENERALLY CONSIDERED AS A COMPOUNDED OPTION PORFOLIO, THESE SECURITIES ARE NEVERTHELESS DIRECTLY ISSUED BY FIRMS, IN OPPOSITION TO TRADITIONAL CONDITIONAL ASSETS. IN THIS WAY, THE BEHAVIOR OF CONVERSION OF BOTH BONDHOLDERS ANS ISSUER WILL HAVE CONSEQUENCES ON THE VALUE OF THE DIFFERENT ASSETS OF THE FIRM, BUT ALSO ON THE CAPITAL STRUCTURE. IF THE FINANCIAL THEORY HAVE WIDELY CONTRIBUTED TO THE EXPLANATION AND THE CONSEQUENCE OF THE BEHAVIOR OF THE ISSUER, THE CONVERSION STRATEGY OF THE INVESTOR HAS NOT BEEN VERY DEVELOPPED IN THE LITTERATURE. THIS WORK IS RELATED TO THE BONDHOLDER BEHAVIOR AND THIS CONSEQUENCES. IN A FIRST TIME, WE DEVELOP, IN A PERFECT MARKET ENVIRONEMENT, A MODEL ALLOWING TO DEFINE JOINTLY THE OPTIMAL STRATEGY OF VOLUNTARY CONVERSION AND CONSEQUENCES ON THE VALUE OF THIS HYBRID ASSET. THE INTRODUCTION OF THE TIME VALUE OF THE CONVERSION RIGHT ALLOW TO UNDERLINE THE DYNAMIC FUNCTION OF THE BEHAVIOR OF THE INVESTOR. AFTER, WE INTRODUCE THE CALL POLICY BECAUSE THIS EFFECT IS INTERCONNECTED WITH THE STRATEGY OF THE BONDHOLDER. THE EMPIRIC INVESTIGATION OF THE CONVERSION BEHAVIOR REVEALS, HOWEVER, THAT THE PERFECT MARKET ANALYSIS CAN'T JUSTIFY ALL THE OBSERVED CONVERSIONS. TO END THIS WORK, WE PROPOSE A MODEL IN WHICH THE ASYMETRIC INFORMATION HYPOTHESIS BETWEEN INVESTORS IS INTRODUCED. APPLIED IN THE FINANCIAL OPERATION FIELD, WE DEMONSTRATE THAT VOLUNTARY CONVERSIONS CAN RATIONALY OCCUR UNDER PRIVATE INFORMATION
Trois essais sur la modélisation de la liquidité de marché et de financement by Malick Fall( Book )

1 edition published in 2016 in English and held by 1 WorldCat member library worldwide

Market liquidity refers to the ease with which assets can be sold without loss with respect to their fundamental values. Liquidity is a source of risk but also compensation. In this thesis, we focus on these two aspects. We propose a new methodology to estimate the liquidity risk premium based on "unobserved components" models. In terms of risk, we propose to combine density forecasts to better predict intra-day liquidity. We also model funding liquidity. Funding liquidity refers to the ability to settle obligations with immediacy. We study this risk for banks, that is, the possibility that over a specific horizon the bank will become unable to settle obligations with immediacy. This risk is pivotal as shown by the major role it played in the financial crisis of 2008. We created several measures allowing to assess the risk exposure of banks. Our model can also be used to stress-test banking companies and to quantify contagion risk
La Value at Risk et les règles prudencielles by Eve Pouchin( )

1 edition published in 2004 in French and held by 1 WorldCat member library worldwide

De l'existence d'une mémoire pour les rendements d'actions : le cas des titres du CAC 40 by Nathalie Bétourné( Book )

1 edition published in 2001 in French and held by 1 WorldCat member library worldwide

Sur les marchés boursiers, la volatilité des titres est décrite analytiquement à partir de la théorie des fractals introduits par Mandelbrot en 1950. Celle-ci permet de déterminer l'existence d'une dépendance longue de la volatilité en introduisant la statistique R/S (ou exposant de 'Hurst') définie par Lo (1991) et développée par Jacobsen (1996). Les résultats positifs du test obtenus sur l'analyse de la volatilité ne sont pas concluants quant à l'évolution des rendements d'actions de l'indice CAC 40. On montre, en effet, quelle que soit la taille de l'échantillon, que l'introduction d'un effet de court terme (modèles autorégressifs) dans la statistique diminue la valeur de l'exposant : la mémoire longue ne peut être décelée car l'effet de long terme est couplé à un effet de court terme. De plus, plus la taille des transactions est élevée, plus la valeur de la statistique diminue : l'effet de court terme prédomine sur l'effet de long terme ; l'information contenue dans les prix, quelle soit privée ou publique, dépend du comportement stratégiques des investisseurs en séance (mimétisme) en fonction des critères de liquidité, de la fourchette des prix, du volume d'échange et de l'effet lead-lag
FONCTIONS D ACTUALISATION, SENSIBILITES ET EQUILIBRE GENERAL by Isabelle Platten( Book )

1 edition published in 1994 in French and held by 1 WorldCat member library worldwide

THIS THESIS IS DIVIDED IN FOUR CHAPTERS : ALL ARE DEDICATED TO THE IMPORTANT SUBJECT OF INTEREST RATES. THE FIRST CHAPTER SHOWS THAT THE GENERAL EQUILIBRIUM FRAMEWORK OF COX, INGERSOLL AND ROSS (1985) IS A VALID ECONOMIC THEORY OF THE TERM STRUCTURE. THE SECOND CHAPTER PRESENTS SOME PARTICULARIZATIONS OF GENERAL EQUILIBRIUM MODELS, WITH A PARTICULAR ATTENTION FOR NONLINEAR ONES. WE SOLVED THE BEAGLEHOLE AND TENNEY (1992) MODEL WITH AN ADDITIONAL REFLECTING BOUNDARY AND WE EXHIBIT A CONSTRAINT BETWEEN THE PARAMETERS OF THE DOUBLE SQUARE ROOT PROCESS INTRODUCED BY LONGSTAFF (1992). FURTHERMOREN WE PROPOSE AN ORIGINAL ANALYTICAL SOLUTION FOR DISCOUNT BOND YIELDS-TO-MANTURITY. THIS NEW FORMULA IS A NONLINEAR FUNCTION OF TWO STATE VARABLES : THE SHORT-TERM RATE AND ITS VOLATILITY. IN CHAPTER THREE, WE PERFORM A LARGE COMARISON OF INTEREST RATE MODELS, USING U.S. INTEREST RATE DATA FROM THE PERIOD 1991-1992. ALL THE SPECIFICATIONS ARE STRONGLY REJECTED BY OUR SAMPLE. CHAPTER FOUR PROPOSE TWO MEASURE OF BASIS RISK, SUITED TO BIVARIATE MODELS. WE GIVE THE OUTLINE TO IMMUNISATION OF RISKLESS BONDS IN GENERAL EQUILIBRIUM MODELS
 
moreShow More Titles
fewerShow Fewer Titles
Audience Level
0
Audience Level
1
  Kids General Special  
Audience level: 0.90 (from 0.87 for FONCTIONS ... to 0.93 for L'arbitrag ...)

Alternative Names
Heude Alain Francois-

Languages
French (19)

English (1)