multi factor models and signal processing techniques application to quantitative finance

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Multi Factor Models And Signal Processing Techniques

Author : Serges Darolles
ISBN : 9781118577493
Genre : Technology & Engineering
File Size : 30. 49 MB
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With recent outbreaks of multiple large-scale financial crises,amplified by interconnected risk sources, a new paradigm of fundmanagement has emerged. This new paradigm leverages“embedded” quantitative processes and methods toprovide more transparent, adaptive, reliable and easily implemented“risk assessment-based” practices. This book surveys the most widely used factor models employedwithin the field of financial asset pricing. Through the concreteapplication of evaluating risks in the hedge fund industry, theauthors demonstrate that signal processing techniques are aninteresting alternative to the selection of factors (bothfundamentals and statistical factors) and can provide moreefficient estimation procedures, based on lq regularized Kalmanfiltering for instance. With numerous illustrative examples from stock markets, this bookmeets the needs of both finance practitioners and graduate studentsin 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) forFactor 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-DauphineUniversity, Vice-President of QuantValley, co-founder of QAMLabSAS, and member of the Quantitative Management Initiative (QMI)scientific committee. His research interests include financialeconometrics, liquidity and hedge fund analysis. He has writtennumerous articles, which have been published in academicjournals. Patrick Duvaut is currently the Research Director of TelecomParisTech, France. He is co-founder of QAMLab SAS, and member ofthe 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 hasworked at Aequam Capital as co-head of R&D since April 2011 andis member of the Quantitative Management Initiative (QMI)scientific committee. Her research interests include SP forfinance, quantitative and statistical finance, and hedge fundanalysis.

Financial Signal Processing And Machine Learning

Author : Ali N. Akansu
ISBN : 9781118745670
Genre : Technology & Engineering
File Size : 38. 6 MB
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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. Financial Signal Processing and Machine Learning unifies a number of recent advances made in signal processing and machine learning for the design and management of investment portfolios and financial engineering. This book bridges the gap between these disciplines, offering the latest information on key topics including characterizing statistical dependence and correlation in high dimensions, constructing effective and robust risk measures, and their use in portfolio optimization and rebalancing. The book focuses on signal processing approaches to model return, momentum, and mean reversion, addressing theoretical and implementation aspects. It highlights the connections between portfolio theory, sparse learning and compressed sensing, sparse eigen-portfolios, robust optimization, non-Gaussian data-driven risk measures, graphical models, causal analysis through temporal-causal modeling, and large-scale copula-based approaches. Key features: Highlights signal processing and machine learning as key approaches to quantitative finance. Offers advanced mathematical tools for high-dimensional portfolio construction, monitoring, and post-trade analysis problems. Presents portfolio theory, sparse learning and compressed sensing, sparsity methods for investment portfolios. including eigen-portfolios, model return, momentum, mean reversion and non-Gaussian data-driven risk measures with real-world applications of these techniques. Includes contributions from leading researchers and practitioners in both the signal and information processing communities, and the quantitative finance community.

Engineering Investment Process

Author : Florian Ielpo
ISBN : 9780081011485
Genre : Business & Economics
File Size : 62. 16 MB
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Engineering Investment Process: Making Value Creation Repeatable explores the quantitative steps of a financial investment process. The authors study how these steps are articulated in order to make any value creation, whatever the asset class, consistent and robust. The discussion includes factors, portfolio allocation, statistical and economic backtesting, but also the influence of negative rates, dynamical trading, state-space models, stylized facts, liquidity issues, or data biases. Besides the quantitative concepts detailed here, the reader will find useful references to other works to develop an in-depth understanding of an investment process. Blends academic research with practical experience from quants, fund managers, and economists Puts financial mathematics and econometrics in their rightful place Presents useful information that will increase the reader's understanding of markets Clearly provides both the global framework, the investment process, and the useful econometric and financial tools that help in its construction Includes efficient tools taken from up-to-date econometric and financial techniques

Zeitdiskrete Signalverarbeitung

Author : Alan V. Oppenheim
ISBN : 9783486792966
Genre : Technology & Engineering
File Size : 64. 78 MB
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Wer die Methoden der digitalen Signalverarbeitung erlernen oder anwenden will, kommt ohne das weltweit bekannte, neu gefaßte Standardwerk "Oppenheim/Schafer" nicht aus. Die Beliebtheit des Buches beruht auf den didaktisch hervorragenden Einführungen, der umfassenden und tiefgreifenden Darstellung der Grundlagen, der kompetenten Berücksichtigung moderner Weiterentwicklungen und der Vielzahl verständnisfördernder Aufgaben.

Deutsche Nationalbibliographie Und Bibliographie Der Im Ausland Erschienenen Deutschsprachigen Ver Ffentlichungen

Author :
ISBN : STANFORD:36105123075231
Genre : Dissertations, Academic
File Size : 54. 94 MB
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Econometrics For Financial Applications

Author : Ly H. Anh
ISBN : 9783319731506
Genre : Computers
File Size : 31. 24 MB
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This book addresses both theoretical developments in and practical applications of econometric techniques to finance-related problems. It includes selected edited outcomes of the International Econometric Conference of Vietnam (ECONVN2018), held at Banking University, Ho Chi Minh City, Vietnam on January 15-16, 2018. Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. An extremely important part of economics is finances: a financial crisis can bring the whole economy to a standstill and, vice versa, a smart financial policy can dramatically boost economic development. It is therefore crucial to be able to apply mathematical techniques of econometrics to financial problems. Such applications are a growing field, with many interesting results – and an even larger number of challenges and open problems.

Mathematical Reviews

Author :
ISBN : UOM:39015065183546
Genre : Mathematics
File Size : 50. 99 MB
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Maschinelles Lernen

Author : Ethem Alpaydin
ISBN : 3110617889
Genre : Computers
File Size : 58. 80 MB
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A Handbook Of Time Series Analysis Signal Processing And Dynamics

Author : D. S. G. Pollock
ISBN : 0125609906
Genre : Technology & Engineering
File Size : 50. 68 MB
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The aim of this book is to serve as a graduate text and reference in time series analysis and signal processing, two closely related subjects that are the concern of a wide range of disciplines, such as statistics, electrical engineering, mechanical engineering and physics. The book provides a CD-ROM containing codes in PASCAL and C for the computer procedures printed in the book. It also furnishes a complete program devoted to the statistical analysis of time series, which will be attractive to a wide range of academics working in diverse mathematical disciplines.

Grundbegriffe Der Wahrscheinlichkeitsrechnung

Author : A. Kolomogoroff
ISBN : 9783642498886
Genre : Mathematics
File Size : 21. 34 MB
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Dieser Buchtitel ist Teil des Digitalisierungsprojekts Springer Book Archives mit Publikationen, die seit den Anfängen des Verlags von 1842 erschienen sind. Der Verlag stellt mit diesem Archiv Quellen für die historische wie auch die disziplingeschichtliche Forschung zur Verfügung, die jeweils im historischen Kontext betrachtet werden müssen. Dieser Titel erschien in der Zeit vor 1945 und wird daher in seiner zeittypischen politisch-ideologischen Ausrichtung vom Verlag nicht beworben.

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