Multi-factor Models and Signal Processing Techniques
Application to Quantitative Finance
By Emmanuelle Jay, Patrick Duvaut, Serges Darolles | Publisher: Wiley
About the book
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.
Editions of Multi-factor Models and Signal Processing Techniques
- Hardcover
- ISBN 9781848214194
- EBook
- ISBN 9781118577493
- EBook
- ISBN 9781118577387
- EBook
- ISBN 9781118577400
Read an 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.
Frequently Asked Questions
What is Multi-factor Models and Signal Processing Techniques about?
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.
What core themes, tropes, or subjects are explored in Multi-factor Models and Signal Processing Techniques?
Technology, Engineering, Agriculture, Industrial processes > Electronics and communications engineering > Communications engineering / telecommunications > Signal processing
Where can I read a sample of Multi-factor Models and Signal Processing Techniques?
You can read an official preview of the few pages here https://www.book2look.com/book/9781848214194
Who is/are the Author/s of the book Multi-factor Models and Signal Processing Techniques?
Emmanuelle Jay, Patrick Duvaut, Serges Darolles
Who is the Publisher of the book Multi-factor Models and Signal Processing Techniques?
Wiley
What are the ISBN numbers for the physical and digital editions?
Multi-factor Models and Signal Processing Techniques is available as hardcover(ISBN 9781848214194) and ebook(ISBN 9781118577493) and ebook(ISBN 9781118577387) and ebook(ISBN 9781118577400)
Where can I buy Multi-factor Models and Signal Processing Techniques online or support local independent bookshops?
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