Téléchargements de livres électroniques gratuits pdf Financial Signal Processing and Machine Learning in French

Financial Signal Processing and Machine Learning

Financial Signal Processing and Machine Learning

by Ali N. Akansu

Editeur : Wiley
ISBN: 9781118745670
Broché: 320
Télécharger les formats: pdf, ePub, mobi, fb2
Taille du fichier: 8 Mb
Date d'affichage: 2020-08-08
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La description:

The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available. Financial Signal Processing and Machine Learningunifies a number of recent advances made in signal processing and machine learning for the design and management of investment portfolios and financial engineering. This book bridges the gap between these disciplines, offering the latest information on key topics including characterizing statistical dependence and correlation in high dimensions, constructing effective and robust risk measures, and their use in portfolio optimization and rebalancing. The book focuses on signal processing approaches to model return, momentum, and mean reversion, addressing theoretical and implementation aspects. It highlights the connections between portfolio theory, sparse learning and compressed sensing, sparse eigen-portfolios, robust optimization, non-Gaussian data-driven risk measures, graphical models, causal analysis through temporal-causal modeling, and large-scale copula-based approaches.