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Akansu, Ali N.

Financial Signal Processing and Machine Learning

Akansu, Ali N. - Financial Signal Processing and Machine Learning, ebook

136,90€

Ebook, ePUB with Adobe DRM
ISBN: 9781118745632
DRM Restrictions

Printing94 pages with an additional page accrued every 8 hours, capped at 94 pages
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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 Learningunifies 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.

Keywords:

  1. Financial Signal Processing
  2. Machine Learning Methods for Finance
  3. Financial Engineering
  4. Statistical Arbitrage
  5. Large Portfolios
  6. Eigen-portfolios
  7. Sparse Portfolios
  8. Portfolio Optimization
  9. Risk Management and Engineering
  10. Non-Gaussian data-driven risk measures
, Signal Processing
Editor
 
 
Publisher
John Wiley and Sons, Inc.
Publication year
2016
Language
en
Edition
1
Series
Wiley - IEEE
Page amount
312 pages
Category
Information Technology, Telecommunications
Format
Ebook
eISBN (ePUB)
9781118745632
Printed ISBN
9781118745670

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