Multi-factor Models and Signal Processing Techniques: Application to Quantitative Finance (Digital Signal and Image Processing) - Tapa dura

Darolles, Serges; Duvaut, Patrick; Jay, Emmanuelle

 
9781848214194: Multi-factor Models and Signal Processing Techniques: Application to Quantitative Finance (Digital Signal and Image Processing)
Tapa dura
ISBN 10: 1848214197 ISBN 13: 9781848214194
Editorial: ISTE Ltd and John Wiley & Sons Inc, 2013

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

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 a 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.

De la contraportada

With recent outbreaks of multiples 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 Iq 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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
ISTE Ltd and John Wiley & Sons Inc
Año de publicación
2013
Idioma
Inglés
ISBN 10 
1848214197
ISBN 13 
9781848214194
Encuadernación
Tapa dura
Número de páginas
186
Contacto del fabricante
WROX
https://www.wiley.com/en-us

111 River Street
Hoboken
NJ
7030
Estados Unidos de America
Persona responsable
no disponible