Multi-factor Models and Signal Processing Techniques

Multi-factor Models and Signal Processing Techniques
Author :
Publisher : John Wiley & Sons
Total Pages : 113
Release :
ISBN-10 : 9781118577493
ISBN-13 : 1118577493
Rating : 4/5 (93 Downloads)

Book Synopsis Multi-factor Models and Signal Processing Techniques by : Serges Darolles

Download or read book Multi-factor Models and Signal Processing Techniques written by Serges Darolles and published by John Wiley & Sons. This book was released on 2013-08-02 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages “embedded” quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented “risk assessment-based” practices. This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an interesting alternative to the selection of factors (both fundamentals and statistical factors) and can provide more efficient estimation procedures, based on lq regularized Kalman filtering for instance. With numerous illustrative examples from stock markets, this book meets the needs of both finance practitioners and graduate students in science, econometrics and finance. Contents Foreword, Rama Cont. 1. Factor Models and General Definition. 2. Factor Selection. 3. Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective. 4. A Regularized Kalman Filter (rgKF) for Spiky Data. Appendix: Some Probability Densities. About the Authors Serge Darolles is Professor of Finance at Paris-Dauphine University, Vice-President of QuantValley, co-founder of QAMLab SAS, and member of the Quantitative Management Initiative (QMI) scientific committee. His research interests include financial econometrics, liquidity and hedge fund analysis. He has written numerous articles, which have been published in academic journals. Patrick Duvaut is currently the Research Director of Telecom ParisTech, France. He is co-founder of QAMLab SAS, and member of the Quantitative Management Initiative (QMI) scientific committee. His fields of expertise encompass statistical signal processing, digital communications, embedded systems and QUANT finance. Emmanuelle Jay is co-founder and President of QAMLab SAS. She has worked at Aequam Capital as co-head of R&D since April 2011 and is member of the Quantitative Management Initiative (QMI) scientific committee. Her research interests include SP for finance, quantitative and statistical finance, and hedge fund analysis.


Multi-factor Models and Signal Processing Techniques Related Books

Multi-factor Models and Signal Processing Techniques
Language: en
Pages: 113
Authors: Serges Darolles
Categories: Technology & Engineering
Type: BOOK - Published: 2013-08-02 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This ne
Multi-Factor Models and Signal Processing Techniques
Language: en
Pages: 12
Authors: Jay Emmanuelle
Categories:
Type: BOOK - Published: 2015 - Publisher:

DOWNLOAD EBOOK

This paper surveys the existing literature on the most widely-used factor models employed in the realm of financial asset pricing field. Through the concrete ap
Financial Signal Processing and Machine Learning
Language: en
Pages: 324
Authors: Ali N. Akansu
Categories: Technology & Engineering
Type: BOOK - Published: 2016-05-31 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available
Matrix and Tensor Decompositions in Signal Processing, Volume 2
Language: en
Pages: 386
Authors: Gérard Favier
Categories: Technology & Engineering
Type: BOOK - Published: 2021-08-31 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

The second volume will deal with a presentation of the main matrix and tensor decompositions and their properties of uniqueness, as well as very useful tensor n
Digital Signal Processing (DSP) with Python Programming
Language: en
Pages: 254
Authors: Maurice Charbit
Categories: Technology & Engineering
Type: BOOK - Published: 2017-01-03 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

The parameter estimation and hypothesis testing are the basic tools in statistical inference. These techniques occur in many applications of data processing., a