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Multi-factor models and signal processing techniques: application to quantitative finance

Darolles, Serge; Duvaut, Patrick; Jay, Emmanuelle (2013), Multi-factor models and signal processing techniques: application to quantitative finance, ISTE ; J. Wiley : London ; Hoboken, NJ, p. 184. http://dx.doi.org/10.1002/9781118577387

Type
Ouvrage
Date
2013
Publisher
ISTE ; J. Wiley
Series title
Digital signal and image processing series
Published in
London ; Hoboken, NJ
ISBN
978-1-84821-419-4
Pages
184
Publication identifier
http://dx.doi.org/10.1002/9781118577387
Metadata
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Author(s)
Darolles, Serge
Dauphine Recherches en Management [DRM]
Duvaut, Patrick

Jay, Emmanuelle
Abstract (EN)
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.
Subjects / Keywords
Finances; Modèles mathématiques; Modèle de fixation du prix des actifs; Traitement du signal
JEL
C30 - General
G11 - Portfolio Choice; Investment Decisions
G12 - Asset Pricing; Trading Volume; Bond Interest Rates

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    Multifactor Models : Examining the potential of signal processing techniques 
    Jay, Emmanuelle; Duvaut, Patrick; Darolles, Serge; Chretien, Arnaud (2011) Article accepté pour publication ou publié
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    Factor Models and General Definition 
    Darolles, Serge; Duvaut, Patrick; Jay, Emmanuelle (2013) Chapitre d'ouvrage
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    Jay, Emmanuelle; Duvaut, Patrick; Darolles, Serge; Gouriéroux, Christian (2011) Communication / Conférence
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    lq-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis 
    Gouriéroux, Christian; Darolles, Serge; Jay, Emmanuelle; Duvaut, Patrick (2011) Communication / Conférence
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