Multi-Factor Models and Signal Processing Techniques: Survey and Examples

IEEE Signal Processing Magazine - Special Issue on Financial Applications, Forthcoming

12 Pages Posted: 18 May 2011

See all articles by Jay Emmanuelle

Jay Emmanuelle

QUANTED; Fideas Capital

Patrick Duvaut

ENSEA-ETIS

Serge Darolles

Université Paris Dauphine - DRM-CEREG

Arnaud Chrétien

Aequam Capital

Date Written: 2011

Abstract

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.

Keywords: Factor models, Factor selection, model selection, Kalman filter, robust Kalman filter, Hedge Funds analysis, risk exposures

JEL Classification: C13, C21, C61

Suggested Citation

Emmanuelle, Jay and Duvaut, Patrick and Darolles, Serge and Chrétien, Arnaud, Multi-Factor Models and Signal Processing Techniques: Survey and Examples (2011). IEEE Signal Processing Magazine - Special Issue on Financial Applications, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1837315

Jay Emmanuelle (Contact Author)

QUANTED ( email )

110 rue du fbg Saint-Denis
Paris, 75010
France
+33630207679 (Phone)

Fideas Capital ( email )

21 avenue de l'Opéra
Paris, 75001
France
+33630207679 (Phone)

Patrick Duvaut

ENSEA-ETIS ( email )

6, avenue du Ponceau
Cergy-Pontoise, 95014
France

Serge Darolles

Université Paris Dauphine - DRM-CEREG ( email )

place du Maréchal de Lattre de Tassigny
cedex 16
Paris, 75775
France

Arnaud Chrétien

Aequam Capital ( email )

Palais Brongniart
28 place de la Bourse
Paris, 75002
France

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