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Multi-factor Models and Signal Processing Techniques
Application to Quantitative Finance
Language
English
English
Book
Hardback
Multi-factor Models and Signal Processing Techniques surveys the most widely used factor models emp...
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Libristo code: 05103670
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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.
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About the book
Full name
Multi-factor Models and Signal Processing Techniques
Author
Serges Darolles, Patrick Duvaut, Emmanuelle Jay
Language
English
English
Binding
Book - Hardback
Date of issue
2013
Number of pages
182
EAN
9781848214194
ISBN
1848214197
Libristo code
05103670
Publishers
ISTE Ltd and John Wiley & Sons Inc
Weight
488
Dimensions
157 x 239 x 21
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