Электронная книга: Serges Darolles «Multi-factor Models and Signal Processing Techniques. Application to Quantitative Finance»
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 applicationof 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.
Издательство: "John Wiley&Sons Limited"
ISBN: 9781118577400 электронная книга Купить за 8725.33 руб и скачать на Litres
Купить за 8725.33 руб и скачать на Litres
Look at other dictionaries:
United States — a republic in the N Western Hemisphere comprising 48 conterminous states, the District of Columbia, and Alaska in North America, and Hawaii in the N Pacific. 267,954,767; conterminous United States, 3,022,387 sq. mi. (7,827,982 sq. km); with… … Universalium
Список награждённых Национальной медалью науки США — Джошуа Ледерберг (справа) получает Национальную медаль науки из рук Президента США Джорджа Буша старшего Список … Википедия
Russia — /rush euh/, n. 1. Also called Russian Empire. Russian, Rossiya. a former empire in E Europe and N and W Asia: overthrown by the Russian Revolution 1917. Cap.: St. Petersburg (1703 1917). 2. See Union of Soviet Socialist Republics. 3. See Russian… … Universalium