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Multifactor Models : Examining the potential of signal processing techniques

Jay, Emmanuelle; Duvaut, Patrick; Darolles, Serge; Chretien, Arnaud (2011), Multifactor Models : Examining the potential of signal processing techniques, IEEE Signal Processing Magazine, 28, 5, p. 37-48. http://dx.doi.org/10.1109/MSP.2011.941550

Type
Article accepté pour publication ou publié
Date
2011
Journal name
IEEE Signal Processing Magazine
Volume
28
Number
5
Publisher
Institute of Electrical & Electronics Engineers
Pages
37-48
Publication identifier
Metadata
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Author(s)
Jay, Emmanuelle
Duvaut, Patrick
Darolles, Serge
Chretien, Arnaud
Abstract (EN)
This article surveys the existing literature on the most widely used factor models employed in the realm of a financial asset pricing field. Through the concrete application of evaluating risks in the hedge fund industry, this article demonstrates that signal processing techniques are an interesting alternative to the selection of factors and can provide more efficient estimation procedure than classical techniques.
Subjects / Keywords
Multifactor Models; signal processing techniques; Hedge funds
JEL
G24 - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies; Insider Trading