Multi Factor Models And Signal Processing Techniques
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Multi Factor Models And Signal Processing Techniques
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Author : Serges Darolles
language : en
Publisher: John Wiley & Sons
Release Date : 2013-08-02
Multi Factor Models And Signal Processing Techniques written by Serges Darolles and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-02 with Technology & Engineering categories.
With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages “embedded” quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented “risk assessment-based” practices. This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an interesting alternative to the selection of factors (both fundamentals and statistical factors) and can provide more efficient estimation procedures, based on lq regularized Kalman filtering for instance. With numerous illustrative examples from stock markets, this book meets the needs of both finance practitioners and graduate students in 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) for Factor 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-Dauphine University, Vice-President of QuantValley, co-founder of QAMLab SAS, and member of the Quantitative Management Initiative (QMI) scientific committee. His research interests include financial econometrics, liquidity and hedge fund analysis. He has written numerous articles, which have been published in academic journals. Patrick Duvaut is currently the Research Director of Telecom ParisTech, France. He is co-founder of QAMLab SAS, and member of the 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 has worked at Aequam Capital as co-head of R&D since April 2011 and is member of the Quantitative Management Initiative (QMI) scientific committee. Her research interests include SP for finance, quantitative and statistical finance, and hedge fund analysis.
Multi Factor Models And Signal Processing Techniques
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Author : Jay Emmanuelle
language : en
Publisher:
Release Date : 2015
Multi Factor Models And Signal Processing Techniques written by Jay Emmanuelle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This paper surveys the existing literature on the most widely-used factor models employed in the realm of financial asset pricing field. Through the concrete application of evaluating risks in the hedge fund industry, this paper demonstrates that signal processing techniques are an interesting alternative to the selection of factors and can provide more efficient estimation procedures than the classical ones.
Fourier Analysis
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Author : Roger Ceschi
language : en
Publisher: John Wiley & Sons
Release Date : 2017-01-18
Fourier Analysis written by Roger Ceschi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-18 with Technology & Engineering categories.
This book aims to learn to use the basic concepts in signal processing. Each chapter is a reminder of the basic principles is presented followed by a series of corrected exercises. After resolution of these exercises, the reader can pretend to know those principles that are the basis of this theme. "We do not learn anything by word, but by example."
Signals And Control Systems
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Author : Smain Femmam
language : en
Publisher: John Wiley & Sons
Release Date : 2017-01-03
Signals And Control Systems written by Smain Femmam and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-03 with Technology & Engineering categories.
The aim of this book is the study of signals and deterministic systems, linear, time-invariant, finite dimensions and causal. A set of useful tools is selected for the automatic and signal processing and methods of representation of dynamic linear systems are exposed, and analysis of their behavior. Finally we discuss the estimation, identification and synthesis of control laws for the purpose of stabilization and regulation.
Topographical Tools For Filtering And Segmentation 2
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Author : Fernand Meyer
language : en
Publisher: John Wiley & Sons
Release Date : 2019-05-21
Topographical Tools For Filtering And Segmentation 2 written by Fernand Meyer and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-21 with Technology & Engineering categories.
Mathematical morphology has developed a powerful methodology for segmenting images, based on connected filters and watersheds. We have chosen the abstract framework of node- or edge-weighted graphs for an extensive mathematical and algorithmic description of these tools. Volume 2 proposes two physical models for describing valid flooding on a node- or edge-weighted graph, and establishes how to pass from one to another. Many new flooding algorithms are derived, allowing parallel and local flooding of graphs. Watersheds and flooding are then combined for solving real problems. Their ability to model a real hydrographic basin represented by its digital elevation model constitutes a good validity check of the underlying physical models. The last part of Volume 2 explains why so many different watershed partitions exist for the same graph. Marker-based segmentation is the method of choice for curbing this proliferation. This book proposes new algorithms combining the advantages of the previous methods which treated node- and edge-weighted graphs differently.
From Algebraic Structures To Tensors
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Author : Gérard Favier
language : en
Publisher: John Wiley & Sons
Release Date : 2020-01-02
From Algebraic Structures To Tensors written by Gérard Favier and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-01-02 with Technology & Engineering categories.
Nowadays, tensors play a central role for the representation, mining, analysis, and fusion of multidimensional, multimodal, and heterogeneous big data in numerous fields. This set on Matrices and Tensors in Signal Processing aims at giving a self-contained and comprehensive presentation of various concepts and methods, starting from fundamental algebraic structures to advanced tensor-based applications, including recently developed tensor models and efficient algorithms for dimensionality reduction and parameter estimation. Although its title suggests an orientation towards signal processing, the results presented in this set will also be of use to readers interested in other disciplines. This first book provides an introduction to matrices and tensors of higher-order based on the structures of vector space and tensor space. Some standard algebraic structures are first described, with a focus on the hilbertian approach for signal representation, and function approximation based on Fourier series and orthogonal polynomial series. Matrices and hypermatrices associated with linear, bilinear and multilinear maps are more particularly studied. Some basic results are presented for block matrices. The notions of decomposition, rank, eigenvalue, singular value, and unfolding of a tensor are introduced, by emphasizing similarities and differences between matrices and tensors of higher-order.
Architecture Aware Optimization Strategies In Real Time Image Processing
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Author : Chao Li
language : en
Publisher: John Wiley & Sons
Release Date : 2017-10-30
Architecture Aware Optimization Strategies In Real Time Image Processing written by Chao Li and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-30 with Technology & Engineering categories.
In the field of image processing, many applications require real-time execution, particularly those in the domains of medicine, robotics and transmission, to name but a few. Recent technological developments have allowed for the integration of more complex algorithms with large data volume into embedded systems, in turn producing a series of new sophisticated electronic architectures at affordable prices. This book performs an in-depth survey on this topic. It is primarily written for those who are familiar with the basics of image processing and want to implement the target processing design using different electronic platforms for computing acceleration. The authors present techniques and approaches, step by step, through illustrative examples. This book is also suitable for electronics/embedded systems engineers who want to consider image processing applications as sufficient imaging algorithm details are given to facilitate their understanding.
From Photon To Pixel
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Author : Henri Maître
language : en
Publisher: John Wiley & Sons
Release Date : 2017-02-08
From Photon To Pixel written by Henri Maître and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-02-08 with Technology & Engineering categories.
This second edition of the fully revised and updated From Photon to Pixel presents essential elements in modern digital photographic devices. Our universal infatuation with photography profoundly affects its usage and development. While some sides of photographic “culture” remain wholly unchanged – art photography, journalistic and advertising photography, scientific photography, etc. – new facets emerge: leisure or travel photography, everyday life photography, anecdotal, observational or unusual photography, and microcosm, or micro-community, photography with its culmination in the narcissistic selfie. These new forms combine an often simplified manner of photographing and modern means of instantaneous, remote and mass communication. This book does not extend into the sociological study of photography, instead it explains how the digital camera works by examining in detail each of the components that constitutes it to provide the reader with a preliminary guide into the inner workings of this device.
Topographical Tools For Filtering And Segmentation 1
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Author : Fernand Meyer
language : en
Publisher: John Wiley & Sons
Release Date : 2019-01-23
Topographical Tools For Filtering And Segmentation 1 written by Fernand Meyer and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-23 with Technology & Engineering categories.
Mathematical morphology has developed a powerful methodology for segmenting images, based on connected filters and watersheds. We have chosen the abstract framework of node- or edge-weighted graphs for an extensive mathematical and algorithmic description of these tools. Volume 1 is devoted to watersheds. The topography of a graph appears by observing the evolution of a drop of water moving from node to node on a weighted graph, along flowing paths, until it reaches regional minima. The upstream nodes of a regional minimum constitute its catchment zone. The catchment zones may be constructed independently of each other and locally, in contrast with the traditional approach where the catchment basins have to be constructed all at the same time. Catchment zones may overlap, and thus, a new segmentation paradigm is proposed in which catchment zones cover each other according to a priority order. The resulting partition may then be corrected, by local and parallel treatments, in order to achieve the desired precision.
Computational Color Science
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Author : Edoardo Provenzi
language : en
Publisher: John Wiley & Sons
Release Date : 2017-03-13
Computational Color Science written by Edoardo Provenzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-13 with Technology & Engineering categories.
Color is a sensation generated both by the interaction of the visual sensors in the eyes with the natural environment and by the elaboration of visual information by higher brain functions. This book presents the mathematical framework needed to deal with several models of color processing of digital images. The book starts with a short yet exhaustive introduction to the basic phenomenological features of color vision, which are constantly used throughout the book. The discussion of computational issues starts with color constancy, which is dealt with in a rigorous and self-contained mathematical setting. Then, the original Retinex model and its numerous variants are introduced and analyzed with direct discrete equations. The remainder of the book is dedicated to the variational analysis of Retinex-like models, contextualizing their action with respect to contrast enhancement.