A Signal Processing Perspective of Financial Engineering

DOI10.1561/2000000072zbMath1418.91010OpenAlexW2414808552MaRDI QIDQ5354843

Yiyong Feng, Daniel P. Palomar

Publication date: 4 September 2017

Published in: Foundations and Trends® in Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1561/2000000072

zbMATH Keywords

portfolio optimizationsignal processingfinancial engineeringfinancial time seriesmarket impactstatistical arbitragelimit order bookscovariance matrix estimators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Optimal stochastic control (93E20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Research exposition (monographs, survey articles) pertaining to information and communication theory (94-02) Financial applications of other theories (91G80) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Related Items (1)

A tail-revisited Markowitz mean-variance approach and a portfolio network centrality

Uses Software

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