Multi factor Models and Signal Processing Techniques Author : Serges Darolles Publisher : John Wiley & Sons Total Pages : 320 Release : 2013-08-02 ISBN 10 : 9781118577493 ISBN 13 : 1118577493 Language : EN, FR, DE, ES & NL GET BOOK Multi factor Models and Signal Processing Techniques Book Description: With recent outbreaks of multiple large-scale financial crises,amplified by interconnected risk sources, a new paradigm of fundmanagement has emerged. This new paradigm leverages“embedded” quantitative processes and methods toprovide more transparent, adaptive, reliable and easily implemented“risk assessment-based” practices. This book surveys the most widely used factor models employedwithin the field of financial asset pricing. Through the concreteapplication of evaluating risks in the hedge fund industry, theauthors demonstrate that signal processing techniques are aninteresting alternative to the selection of factors (bothfundamentals and statistical factors) and can provide moreefficient estimation procedures, based on lq regularized Kalmanfiltering for instance. With numerous illustrative examples from stock markets, this bookmeets the needs of both finance practitioners and graduate studentsin 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) forFactor 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-DauphineUniversity, Vice-President of QuantValley, co-founder of QAMLabSAS, and member of the Quantitative Management Initiative (QMI)scientific committee. His research interests include financialeconometrics, liquidity and hedge fund analysis. He has writtennumerous articles, which have been published in academicjournals. Patrick Duvaut is currently the Research Director of TelecomParisTech, France. He is co-founder of QAMLab SAS, and member ofthe 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 hasworked at Aequam Capital as co-head of R&D since April 2011 andis member of the Quantitative Management Initiative (QMI)scientific committee. Her research interests include SP forfinance, quantitative and statistical finance, and hedge fundanalysis.