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En nous inspirant des travaux portant sur les marches boursiers des pays industrialisés, nous analysons la volatilite des rendements boursiers d'Asie du Sud-Est à partir de la méthodologie ARCH. Notre objectif consiste à mettre en évidence les spécificités des marchés boursiers du Sud-Est asiatique, à travers les proprietes statistiques des rendements et le mode de formation de la volatilite. On établit ainsi une base commune de comparaison entre les marchés des pays industrialisés et ceux de ces pays emergents. Cette analyse met en évidence le fait qu'il n'existe pas de différences fondamentales entre les deux zones, au sens ou leurs indices boursiers affichent des propriétés semblables et semblent adopter un mode comparable de formation de la volatilite.

National audience; Nous discutons la pertinence de mesurer le risque par les volatilités. Nous appuyant sur les études récentes sur données de cotation et sur la spécificité des produits dérivés, nous proposons des mesures complémentaires de façon à traiter les effets volumes et temps, et à tenir compte des asymétries.

Çalışmanın amacı terör olaylarının, özellikle İslami kökenli terör olaylarının, finansal piyasalara etkisini ülke CDS primleri ve hisse senedi piyasaları özelinde incelemektir. Bu etki Belçika, Danimarka, Fransa, Almanya, İtalya, İspanya, İsveç, İngiltere ve Türkiye'nin yer aldığı 9 ülke kapsamında 2008-2017 dönemi itibariyle olay analizi yöntemi kullanılarak incelenmiştir. Çalışmada terör olaylarının ülke CDS primlerinin ve hisse senedi piyasalarının davranışını getiri ve oynaklık açısından etkileyip etkilemediğine bakılmıştır. Çalışmada kullanılan verilere Thomsan Reuters veri tabanından ulaşılmış olup bu verileri çalışmada yer alan ülkelerin 5 yıl vadeli ülke CDS primleri ve hisse senetlerinin kapanış fiyatları oluşturmaktadır. Avrupa Bölgesi'nde yer alan 8 ülke için sadece İslami kökenli terör olaylarına bakılırken, Türkiye için IŞİD, PKK ve FETÖ ayrımına gidilmiştir. Çalışma sonucunda ülkeler terör olayları sonrasındaki 10, 20, 30 ve 45 günlerinde terör öncesine göre hem borsa getirileri açısından hem de 5 yıl vadeli ülke CDS primleri getirisi açısından birkaç istisna dışında anlamlı farklılık göstermemiştir. Bunun yanı sıra ülkelerin her iki piyasa için de volatiliteleri benzer davranış göstererek terör olayı öncesine göre istatistiksel olarak anlamlı farklılık göstermiştir. Anahtar Kelimeler: Terör, Ülke CDS primi, Olay analizi, Getiri, Volatilite, The purpose of the study is to examine the effect of terrorist incidents, especially Islamic terrorism, on the financial markets in terms of sovereign CDS premiums and stock market. This impact has been examined by using event analysis method in the period of 2008-2017 in 9 countries which takes place Belgium, Denmark, France, Germany, Italy, Spain, Sweden, United Kingdom and Turkey. In the study, it was examined whether terrorist incidents affected the behavior of CDS premiums and stock market in terms of returns and volatility. The data used in the study were obtained from the Thomsan Reuters data base, which constitutes the closing prices of the CDS premiums and shares of the countries with 5 years maturity. While in the European region, only Islamic terrorism has been considered for the eight countries, ISID, PKK and FETO distinction is made for Turkey. As a result of the study, countries did not show any significant difference in terms of stock returns and 5-year CDS premium incomes at 10, 20, 30 and 45 days after the terrorist attacks except for a few exceptions. In addition, the volatility of countries in both markets showed a similar behavior, showing a statistically significant difference compared to the pre-terrorism case. Keywords: Terror, Sovereign CDS Premium, Event Study, Return, Volatility

Is the human brain wired for wealth? The setting is the high-velocity financial environment. Undoubtedly, the development of sophisticated derivative instruments has improved the allocation of risk across economies, highlighting the nexus between banking and finance and economic development. But bouts of irrational exuberance raise concerns about the unprecedented pace of financial innovations. The recent past has witnessed the rapid growth of algorithmic and automated trading as competitive strategies to capture gains, for example, from zero-latency trades. At the same time, financial headlines have been set ablaze by behavioral treatises related to our evolutionary hardwiring for such emotions as greed and fear; seemingly, we are not predisposed to make rational financial decisions. This research takes a step back and explores to what extent the human brain is well adapted to assess risk and reward in financial markets. The research implemented three novel behavioral experiments, one of which used high resolution electrical neuroimaging and is organized along two distinct themes that relate to specific features of financial trading. The first theme concerns the speed of financial decisions. Are decisions made under short time constraint more likely to be biased than under less time pressure? How fast does the brain process financial information? The second theme is (financial) volatility. To what extent are individuals adept at making financial forecasts? The dearth of knowledge on these topics prompted the inductive and transversal bent of this research. Several new insights emerged that challenge the behavioral views of financial decision-making. First, fast decisions as observed on the trading floor is well-captured by moment-based theory, a workhorse of Classical Finance. This is in marked contrast to the generally accepted view that fast decisions impose a bound on rationality; rational decisions are assumed to take time-to-build. Surprisingly, biases loom larger with longer decision time. Second, analysis of electrical brain signals indicates that the brain is very fast at extracting complex monetary reward features from the environment. The behavioral and electrophysiological findings highlight the need to better calibrate the speed of decisions. Third, decision-making (here, learning and forecasting) may go awry when individuals face financial volatility; but not always. The overall findings lead to the proposition that the border between rational and irrational financial decisions is much more razor-thin than opined by behaviorists. The research paints a complex picture about how emotions affect decisions. High emotional quotient and long investment time horizon respectively distinguishes professional traders and long-term investors from novice traders and investors chasing short-term gains; the latter two groups are more likely to react emotionally. Real experts in high-velocity environments are rare and forecasts are bound to be imperfect; algorithmic and automated trades are important aids to diverse players in financial markets. Last but not least, extrapolating from the findings, regulatory policy should concern the transparency of financial products and technology-enabled trades and preferential access to trading platforms. Financial institutions, on the other hand, ought to review their business models paying particular attention to their reward system.

8 pages, 1 figure, 6 tables, [EN] Fishermen are suffering from low product prices despite increasing fishing costs, while consumers have to pay high prices at the retail level. Supply concentration at the retail level and increased fish trade, especially for aquaculture products, could lead towards retail market power. Analyzing price transmission in supply chains is important because imperfect price transmission may be a result of market power. In this paper, price transmission and volatility in the market chain is examined for the Spanish fresh fish market using weekly prices of 10 fresh fish products in the main 3 stages of the market chain (ex-vessel, wholesale and retail) for the period 2004-2013, [FR] Les pêcheurs souffrent à cause des prix bas des produits de la mer, malgré l'augmentation des coûts de la pêche, alors que les consommateurs paient des prix élevés au niveau du détail. La concentration de l'offre au niveau de la vente au détail et l'augmentation de la commercialisation du poisson, en particulier des produits de l'aquaculture, pourraient déterminer le pouvoir de marché du commerce de détail. Analyser la transmission des prix tout au long de la chaîne d’approvisionnement est important parce que la transmission imparfaite des prix pourrait être le fait du pouvoir de marché. Dans cet article, nous allons examiner le marché espagnol du poisson frais en considérant la transmission des prix et la volatilité dans la chaîne de commercialisation. A cette fin, nous allons considérer les prix hebdomadaires de 10 produits de poisson frais dans les 3 principales phases de la chaîne de commercialisation (première vente, vente en gros et détail) pour la période 2004-2013

International audience; Pas de résumé disponible

Küreselleşen finans piyasalarının etkisiyle önemi daha iyi anlaşılan vadeli işlemler piyasalarını, türev ürünleri özellikle ülkemizde yakın zamanda işlem görmesi planlanan opsiyon sözleşmeleri hakkında bilgi vermeyi ve türev ürünler ve vadeli işlemler piyasaları ile yakından ilişkili olan zımni ve tarihsel volatilite kavramları arasındaki ilişkiyi açıklamayı amaçlamaktadır. İlk olarak vadeli işlemler piyasalarının tarihçesine ve türev ürünlere ikinci olarak opsiyon sözleşmelerine ve volatilite kavramına ilişkin literatür bilgisi sunulmuştur. Son olarak zımni volatilite ve tarihsel volatilite arasındaki ilişkiyi açıklamak amacıyla, Dolar-TL opsiyonlarının volatilite değerleri üzerinde regresyon analizleri yapılmıştır. Yapılan analizler sonucunda, zımni volatilite ve tarihsel volatilite arasında istatistiksel olarak anlamlı bir ilişki olduğu belirlenmiştir. Bunun yanında zımni volatilitenin gecikmeli değerlerinin tarihsel volatilitede oluşan değişikliklere; tarihsel volatilitenin gecikmeli değerlerinin de zımni volatilitede oluşan değişikliklere neden olduğu sonucuna ulaşılmıştır., This study aims to explain concepts of derivative markets and derivative instruments, specifically option contracts, which are currently being planned to be quoted in Turkey markets, and to explain relation between concepts of implied volatility and realized volatility which are both closely integrated with derivative markets and derivative instruments. First of all history of derivative markets and derivative instruments are explicated, secondly the literature review concerning options and volatility is presented. Lastly, in order to explain relation between implied and relized volatility, regression analyses are conducted on implied and realized volatility values of options in USD-TRY. As a result it is determined that there is a statistically significant relation between implied volatility and realized volatility. Furthermore it is concluded that changes in realized volatility is caused by lagged values of implied volatility and changes in implied volatility is caused by lagged values of realized volatility. Keywords: Derivative markets, derivative instrument, options, volatility.

In the first place the behavior of (online) traders on markets is analyzed and modeled, and it is shown that the average investor behaves as a mean-variance optimizer in finance. Within this description, transaction costs play a key role in explaining observed investment patterns and in particular an important uncovered relation between average investment and portfolio value. As online investors take into account transaction costs in their investment strategy, they are also sensitive to high portfolio rebalancing costs. Solutions to avoid high portfolio turnovers are investigated: first in the one-dimensional case, where it is shown that estimators with minimal-dispersion improve both the accuracy and the variance of volatility and Value-at-Risk forecasts; second, in a multi-asset environment where the ideal covariance matrix must have good conditioning properties to maintain reasonable portfolio turnover. Theoretical results are derived using Random Matrix Theory, as for instance an equation for the Stieltjes transform of the eigenvalue density of i.i.d. correlation matrices with general time-decreasing weight profiles. Results found in the one-dimensional case are generalized leading to long-memory covariance matrices. Finally, a "curse of dimensionality" in portfolio allocation is tackled by generalizing the Spectral Coarse Graining, a method of reduction for complex networks, that is extended to the simplification of the mean-variance optimization problem.