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Multi-factor Models and Signal
Hardcover
Technology & EngineeringPhysicsProbability & Statistics
ISBN13: 9781848214194
Publisher: John Wiley & Sons
Published: Jul 11 2013
Pages: 186
Weight: 1.05
Height: 0.90 Width: 6.00 Depth: 9.20
Language: English
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.
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