Nicolas Boitout/Doctoral dissertation

Université d'Orléans · Sciences Économiques · 2004

Four chapters on how a currency price is made

Information that arrives unevenly, traders who disagree and change their minds, and a trading time that is itself random. Each chapter is being rebuilt as a model you can run — from the equations in the original manuscript, not from its printed figures.

Two laboratories are live. Two chapters are in preparation.

The printed title page of the dissertation: Thèse présentée à l'Université d'Orléans pour obtenir le grade de Docteur, discipline Sciences Économiques, par Nicolas Boitout — Modélisation de la dynamique des taux de change avec application aux marchés émergents, soutenue publiquement le 29 novembre 2004. The jury is listed at the foot of the page.
The printed copy · defended 29 November 2004

  1. Chapter One Interactive

    Towards a multifractal paradigm of stochastic volatility

    Information does not arrive evenly, and almost every familiar feature of returns follows from that one assumption. Fat tails, volatility that clusters, memory that changes with the power you measure and the horizon you use.

    • Cascade simulator: intermittency λ², depth, σ₀, seed
    • GPH and local Whittle estimates of d̂(q)
    • Five daily series, 2016–2026, measured against the chapter
    • The full chapter text, forty equations, four tables

    With Loredana Ureche-Rangau · International Journal of Theoretical and Applied Finance 7(7), 823–851, 2004 · DOI

    Open the laboratory Source

  2. Chapter Two Interactive

    Agent-based financial market simulation

    A market made of people who disagree. Two chartist camps and a fundamentalist camp, each agent switching when someone else's strategy is doing better — and, unlike almost every simulation of its day, trading time is random rather than a grid.

    • Live tape: every event as it happens, on one axis of simulated time
    • A playground where you move the model's own parameters
    • Re-implemented in 2026 from the chapter's equations
    • An explicit account of what worked and what did not

    With Thierry Delahaut · extends Lux & Marchesi (1999, 2000) to random trading time

    Open the simulation Source

  3. Chapter Three In preparation

    Empirical Study

  4. Chapter Four In preparation

    Speculative Attacks on a Fixed Exchange Rate Market: a Microsimulation

The intuition

Why I approached currency crises this way

The standard account never added up for me. If prices move because news arrives, and news reaches everyone at once and is read in much the same way, then the volatility we actually observe in currency markets is far too large. You can find the intraday spikes around announcements — but they are a small part of the total. Most of the movement was being produced by something other than public information.

The foreign exchange market makes the alternative hard to avoid. It is decentralised: there is no tape of aggregate order flow, so what a trader learns about everyone else, they learn from price and volume themselves. Other participants are not noise around the fundamental — they are part of what you are trading on. That is also why technical analysis dominates short-horizon forecasting there, whatever one thinks of it.

So I stopped treating the representative investor on a regular clock as the starting point. Take it away and you need to say what replaces it, which is the whole dissertation: information that arrives in bursts, agents who revise their method by watching what is working for other people, and a trading time that runs fast and slow instead of ticking.

Crises are where this stops being a modelling preference. A fixed exchange rate does not break because a fundamental crossed a threshold on a particular Tuesday. It breaks because enough participants revise at once, each partly because the others are revising — a herd that is individually rational and collectively catastrophic. A representative agent cannot even state that problem. A population that switches strategy, in a market where the only signal about everyone else is the price, can.

That is why the emerging-market application at the end is not an afterthought bolted onto the theory. It is the case the theory was built for.

A note on the rebuilds. Each laboratory is written from its chapter's own equations, not from its published figures. Where the manuscript is ambiguous, silent, or missing pages, the implementation says so on the page and names the reading it took. Nothing is quietly corrected and nothing is modernised.

The through-line · live seed 20041129
A multiplicative cascade sets how intensely information is arriving; arrivals are drawn against that intensity, and the price moves only when one lands. Chapter One's cascade driving Chapter Two's random trading time — running now, in your browser.

Defence and jury

Publicly defended on 29 November 2004 at the Université d'Orléans.