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Multi Factor Models And Signal Processing Techniques
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Book Synopsis Multi-factor Models and Signal Processing Techniques by : Serges Darolles
Download or read book Multi-factor Models and Signal Processing Techniques written by Serges Darolles and published by John Wiley & Sons. This book was released on 2013-08-02 with total page 113 pages. Available in PDF, EPUB and Kindle. Book 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. Contents Foreword, Rama Cont. 1. Factor Models and General Definition. 2. Factor Selection. 3. Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor 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-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 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.
Book Synopsis Multi-Factor Models and Signal Processing Techniques by : Jay Emmanuelle
Download or read book Multi-Factor Models and Signal Processing Techniques written by Jay Emmanuelle and published by . This book was released on 2015 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper surveys the existing literature on the most widely-used factor models employed in the realm of financial asset pricing field. Through the concrete application of evaluating risks in the hedge fund industry, this paper demonstrates that signal processing techniques are an interesting alternative to the selection of factors and can provide more efficient estimation procedures than the classical ones.
Book Synopsis Financial Signal Processing and Machine Learning by : Ali N. Akansu
Download or read book Financial Signal Processing and Machine Learning written by Ali N. Akansu and published by John Wiley & Sons. This book was released on 2016-05-31 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Matrix and Tensor Decompositions in Signal Processing, Volume 2 by : Gérard Favier
Download or read book Matrix and Tensor Decompositions in Signal Processing, Volume 2 written by Gérard Favier and published by John Wiley & Sons. This book was released on 2021-08-31 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second volume will deal with a presentation of the main matrix and tensor decompositions and their properties of uniqueness, as well as very useful tensor networks for the analysis of massive data. Parametric estimation algorithms will be presented for the identification of the main tensor decompositions. After a brief historical review of the compressed sampling methods, an overview of the main methods of retrieving matrices and tensors with missing data will be performed under the low rank hypothesis. Illustrative examples will be provided.
Book Synopsis Digital Signal Processing (DSP) with Python Programming by : Maurice Charbit
Download or read book Digital Signal Processing (DSP) with Python Programming written by Maurice Charbit and published by John Wiley & Sons. This book was released on 2017-01-03 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: The parameter estimation and hypothesis testing are the basic tools in statistical inference. These techniques occur in many applications of data processing., and methods of Monte Carlo have become an essential tool to assess performance. For pedagogical purposes the book includes several computational problems and exercices. To prevent students from getting stuck on exercises, detailed corrections are provided.
Book Synopsis Regularization and Bayesian Methods for Inverse Problems in Signal and Image Processing by : Jean-Francois Giovannelli
Download or read book Regularization and Bayesian Methods for Inverse Problems in Signal and Image Processing written by Jean-Francois Giovannelli and published by John Wiley & Sons. This book was released on 2015-02-02 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this book is on "ill-posed inverse problems". These problems cannot be solved only on the basis of observed data. The building of solutions involves the recognition of other pieces of a priori information. These solutions are then specific to the pieces of information taken into account. Clarifying and taking these pieces of information into account is necessary for grasping the domain of validity and the field of application for the solutions built. For too long, the interest in these problems has remained very limited in the signal-image community. However, the community has since recognized that these matters are more interesting and they have become the subject of much greater enthusiasm. From the application field’s point of view, a significant part of the book is devoted to conventional subjects in the field of inversion: biological and medical imaging, astronomy, non-destructive evaluation, processing of video sequences, target tracking, sensor networks and digital communications. The variety of chapters is also clear, when we examine the acquisition modalities at stake: conventional modalities, such as tomography and NMR, visible or infrared optical imaging, or more recent modalities such as atomic force imaging and polarized light imaging.
Book Synopsis Digital Signal and Image Processing using MATLAB, Volume 2 by : Gérard Blanchet
Download or read book Digital Signal and Image Processing using MATLAB, Volume 2 written by Gérard Blanchet and published by John Wiley & Sons. This book was released on 2015-02-02 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most important theoretical aspects of Image and Signal Processing (ISP) for both deterministic and random signals, the theory being supported by exercises and computer simulations relating to real applications. More than 200 programs and functions are provided in the MATLAB® language, with useful comments and guidance, to enable numerical experiments to be carried out, thus allowing readers to develop a deeper understanding of both the theoretical and practical aspects of this subject. Following on from the first volume, this second installation takes a more practical stance, providing readers with the applications of ISP.
Book Synopsis Topographical Tools for Filtering and Segmentation 2 by : Fernand Meyer
Download or read book Topographical Tools for Filtering and Segmentation 2 written by Fernand Meyer and published by John Wiley & Sons. This book was released on 2019-01-23 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical morphology has developed a powerful methodology for segmenting images, based on connected filters and watersheds. We have chosen the abstract framework of node- or edge-weighted graphs for an extensive mathematical and algorithmic description of these tools. Volume 2 proposes two physical models for describing valid flooding on a node- or edge-weighted graph, and establishes how to pass from one to another. Many new flooding algorithms are derived, allowing parallel and local flooding of graphs. Watersheds and flooding are then combined for solving real problems. Their ability to model a real hydrographic basin represented by its digital elevation model constitutes a good validity check of the underlying physical models. The last part of Volume 2 explains why so many different watershed partitions exist for the same graph. Marker-based segmentation is the method of choice for curbing this proliferation. This book proposes new algorithms combining the advantages of the previous methods which treated node- and edge-weighted graphs differently.
Book Synopsis Digital Signal and Image Processing using MATLAB, Volume 3 by : Gérard Blanchet
Download or read book Digital Signal and Image Processing using MATLAB, Volume 3 written by Gérard Blanchet and published by John Wiley & Sons. This book was released on 2015-10-02 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 3 of the second edition of the fully revised and updated Digital Signal and Image Processing using MATLAB, after first two volumes on the "Fundamentals" and "Advances and Applications: The Deterministic Case", focuses on the stochastic case. It will be of particular benefit to readers who already possess a good knowledge of MATLAB, a command of the fundamental elements of digital signal processing and who are familiar with both the fundamentals of continuous-spectrum spectral analysis and who have a certain mathematical knowledge concerning Hilbert spaces. This volume is focused on applications, but it also provides a good presentation of the principles. A number of elements closer in nature to statistics than to signal processing itself are widely discussed. This choice comes from a current tendency of signal processing to use techniques from this field. More than 200 programs and functions are provided in the MATLAB language, with useful comments and guidance, to enable numerical experiments to be carried out, thus allowing readers to develop a deeper understanding of both the theoretical and practical aspects of this subject.
Book Synopsis Architecture-Aware Optimization Strategies in Real-time Image Processing by : Chao Li
Download or read book Architecture-Aware Optimization Strategies in Real-time Image Processing written by Chao Li and published by John Wiley & Sons. This book was released on 2017-10-30 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the field of image processing, many applications require real-time execution, particularly those in the domains of medicine, robotics and transmission, to name but a few. Recent technological developments have allowed for the integration of more complex algorithms with large data volume into embedded systems, in turn producing a series of new sophisticated electronic architectures at affordable prices. This book performs an in-depth survey on this topic. It is primarily written for those who are familiar with the basics of image processing and want to implement the target processing design using different electronic platforms for computing acceleration. The authors present techniques and approaches, step by step, through illustrative examples. This book is also suitable for electronics/embedded systems engineers who want to consider image processing applications as sufficient imaging algorithm details are given to facilitate their understanding.
Book Synopsis Fundamentals of Signals and Control Systems by : Smain Femmam
Download or read book Fundamentals of Signals and Control Systems written by Smain Femmam and published by John Wiley & Sons. This book was released on 2017-01-03 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this book is the study of signals and deterministic systems, linear, time-invariant, finite dimensions and causal. A set of useful tools is selected for the automatic and signal processing and methods of representation of dynamic linear systems are exposed, and analysis of their behavior. Finally we discuss the estimation, identification and synthesis of control laws for the purpose of stabilization and regulation. The study of signal characteristics and properties systems and knowledge of mathematical tools and treatment methods and analysis, are lately more and more importance and continue to evolve. The reason is that the current state of technology, particularly electronics and computing, enables the production of very advanced processing systems, effective and less expensive despite the complexity.
Download or read book Fourier Analysis written by Roger Ceschi and published by John Wiley & Sons. This book was released on 2017-01-18 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to learn to use the basic concepts in signal processing. Each chapter is a reminder of the basic principles is presented followed by a series of corrected exercises. After resolution of these exercises, the reader can pretend to know those principles that are the basis of this theme. "We do not learn anything by word, but by example."
Book Synopsis Signals and Control Systems by : Smain Femmam
Download or read book Signals and Control Systems written by Smain Femmam and published by John Wiley & Sons. This book was released on 2017-01-03 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this book is the study of signals and deterministic systems, linear, time-invariant, finite dimensions and causal. A set of useful tools is selected for the automatic and signal processing and methods of representation of dynamic linear systems are exposed, and analysis of their behavior. Finally we discuss the estimation, identification and synthesis of control laws for the purpose of stabilization and regulation.
Book Synopsis From Algebraic Structures to Tensors by : Gérard Favier
Download or read book From Algebraic Structures to Tensors written by Gérard Favier and published by John Wiley & Sons. This book was released on 2020-01-02 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nowadays, tensors play a central role for the representation, mining, analysis, and fusion of multidimensional, multimodal, and heterogeneous big data in numerous fields. This set on Matrices and Tensors in Signal Processing aims at giving a self-contained and comprehensive presentation of various concepts and methods, starting from fundamental algebraic structures to advanced tensor-based applications, including recently developed tensor models and efficient algorithms for dimensionality reduction and parameter estimation. Although its title suggests an orientation towards signal processing, the results presented in this set will also be of use to readers interested in other disciplines. This first book provides an introduction to matrices and tensors of higher-order based on the structures of vector space and tensor space. Some standard algebraic structures are first described, with a focus on the hilbertian approach for signal representation, and function approximation based on Fourier series and orthogonal polynomial series. Matrices and hypermatrices associated with linear, bilinear and multilinear maps are more particularly studied. Some basic results are presented for block matrices. The notions of decomposition, rank, eigenvalue, singular value, and unfolding of a tensor are introduced, by emphasizing similarities and differences between matrices and tensors of higher-order.
Book Synopsis Engineering Investment Process by : Florian Ielpo
Download or read book Engineering Investment Process written by Florian Ielpo and published by Elsevier. This book was released on 2017-03-22 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Book Synopsis From Photon to Pixel by : Henri Maître
Download or read book From Photon to Pixel written by Henri Maître and published by John Wiley & Sons. This book was released on 2017-02-08 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition of the fully revised and updated From Photon to Pixel presents essential elements in modern digital photographic devices. Our universal infatuation with photography profoundly affects its usage and development. While some sides of photographic “culture” remain wholly unchanged – art photography, journalistic and advertising photography, scientific photography, etc. – new facets emerge: leisure or travel photography, everyday life photography, anecdotal, observational or unusual photography, and microcosm, or micro-community, photography with its culmination in the narcissistic selfie. These new forms combine an often simplified manner of photographing and modern means of instantaneous, remote and mass communication. This book does not extend into the sociological study of photography, instead it explains how the digital camera works by examining in detail each of the components that constitutes it to provide the reader with a preliminary guide into the inner workings of this device.
Book Synopsis Topographical Tools for Filtering and Segmentation 1 by : Fernand Meyer
Download or read book Topographical Tools for Filtering and Segmentation 1 written by Fernand Meyer and published by John Wiley & Sons. This book was released on 2019-01-23 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical morphology has developed a powerful methodology for segmenting images, based on connected filters and watersheds. We have chosen the abstract framework of node- or edge-weighted graphs for an extensive mathematical and algorithmic description of these tools. Volume 1 is devoted to watersheds. The topography of a graph appears by observing the evolution of a drop of water moving from node to node on a weighted graph, along flowing paths, until it reaches regional minima. The upstream nodes of a regional minimum constitute its catchment zone. The catchment zones may be constructed independently of each other and locally, in contrast with the traditional approach where the catchment basins have to be constructed all at the same time. Catchment zones may overlap, and thus, a new segmentation paradigm is proposed in which catchment zones cover each other according to a priority order. The resulting partition may then be corrected, by local and parallel treatments, in order to achieve the desired precision.
