A signal processing perspective on financial engineering

DOI10.1561/2000000072MaRDI QIDQ5354843zbMATH OpenOpenAlexFDO

Authors Yiyong Feng, D. P. Palomar

Publication date 4 September 2017

Published in Foundations and Trends® in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1561/2000000072

zbMATH Keywords

covariance matrix estimatorsfinancial engineeringfinancial time serieslimit order booksmarket impactportfolio optimizationsignal processingstatistical arbitrage

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Economic time series analysis (91B84) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to information and communication theory (94-02) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Recommendations

• Algorithmic trading and quantitative strategies
• Optimization Methods in Finance
• Optimization methods in finance.
• scientific article; zbMATH DE number 6766521
• Statistical models and methods for financial markets

Cited in

(7)

• A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
• Adaptive signal processing of asset price dynamics with predictability analysis
• Algorithmic trading and quantitative strategies
• High-frequency trading and probability theory
• Sparse recovery under nonnegativity and sum-to-one constraints
• Finding moving-band statistical arbitrages via convex-concave optimization
• Reviving pseudo-inverses: asymptotic properties of large dimensional Moore-Penrose and ridge-type inverses with applications

Describes a project that uses

Uses Software

• Matlab

This page was built for publication: A signal processing perspective on financial engineering

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5354843)