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Book synopsis

Multi-factor Models and Signal Processing Techniques surveys the most widely used factor models employed in the realm of the financial asset pricing field. It offers a unique perspective on these models, using the concrete application of evaluating risks in the hedge fund industry to demonstrate that signal processing techniques can be an interesting alternative to the selection of factors, whether they are fundamental or statistical factors. More importantly, the book shows how the signal processing approach can provide more efficient estimation procedures based, for instance, on lq regularized Kalman Filtering.

Book details

Book category Books in English Technology, engineering, agriculture Electronics & communications engineering Communications engineering / telecommunications

• Full title: Multi-factor Models and Signal Processing Techniques
• Subtitle: Application to Quantitative Finance
• Author: Serges Darolles, Patrick Duvaut, Emmanuelle Jay
• Language: English
• Binding: Hardback
• Number of pages: 182
• EAN: 9781848214194
• ISBN: 1848214197
• ID: 05103670
• Publisher: ISTE Ltd and John Wiley & Sons Inc
• Weight: 488 g
• Dimensions: 239 × 157 × 21 mm
• Date of publishing: 26. July 2013

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