Multi-factor models and signal processing techniques: application to quantitative finance
Darolles, Serge; Duvaut, Patrick; Jay, Emmanuelle (2013), Multi-factor models and signal processing techniques: application to quantitative finance, ISTE ; J. Wiley : London ; Hoboken, NJ, p. 184. http://dx.doi.org/10.1002/9781118577387
Series titleDigital signal and image processing series
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Abstract (EN)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.
Subjects / KeywordsFinances; Modèles mathématiques; Modèle de fixation du prix des actifs; Traitement du signal
Showing items related by title and author.
lq-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis Jay, Emmanuelle; Duvaut, Patrick; Darolles, Serge; Gouriéroux, Christian (2011) Communication / Conférence
lq-regularization of the Kalman ﬁlter for exogenous outlier removal: application to hedge funds analysis Gouriéroux, Christian; Darolles, Serge; Jay, Emmanuelle; Duvaut, Patrick (2011) Communication / Conférence