SS-L2: Signal Processing Methods for Finance Applications |
| Session Type: Lecture |
| Time: Tuesday, 5 May, 11:30 - 13:30 |
| Location: On-Demand |
| Virtual Session: View on Virtual Platform |
| Session Chair: Ali Akansu, New Jersey Institute of Technology |
| SS-L2.1: A THEORETICAL BASIS FOR PRACTITIONERS HEURISTIC 1/N AND LONG-ONLY QUINTILE PORTFOLIO |
| Rui Zhou; Hong Kong University of Science and Technology |
| Daniel Palomar; Hong Kong University of Science and Technology |
| SS-L2.2: A RECURSIVE BAYESIAN SOLUTION FOR THE EXCESS OVER THRESHOLD DISTRIBUTION WITH STOCHASTIC PARAMETERS |
| Douglas Johnston; Farmingdale State College |
| Petar Djuric; Stony Brook University |
| SS-L2.3: GAUSSIAN PROCESS IMPUTATION OF MULTIPLE FINANCIAL SERIES |
| Taco de Wolff; CMM, Universidad de Chile |
| Alejandro Cuevas; CMM, Universidad de Chile |
| Felipe Tobar; CMM, Universidad de Chile |
| SS-L2.4: ROBUST COVARIANCE MATRIX ESTIMATION AND PORTFOLIO ALLOCATION: THE CASE OF NON-HOMOGENEOUS ASSETS |
| Emmanuelle Jay; Quanted & Fideas Capital |
| Thibault Soler; Fideas Capital & Université Paris 1 Panthéon Sorbonne |
| Jean-Philippe Ovarlez; DEMR/ONERA |
| Philippe De Peretti; Centre d'Economie de la Sorbonne |
| Christophe Chorro; Centre d'Economie de la Sorbonne |
| SS-L2.5: PORTFOLIO CUTS: A GRAPH-THEORETIC FRAMEWORK TO DIVERSIFICATION |
| Bruno Scalzo-Dees; Imperial College London |
| Ljubisa Stankovic; University of Montenegro |
| Anthony G. Constantinides; Imperial College London |
| Danilo P. Mandic; Imperial College London |
| SS-L2.6: CORRGAN: SAMPLING REALISTIC FINANCIAL CORRELATION MATRICES USING GENERATIVE ADVERSARIAL NETWORKS |
| Gautier Marti; Shell Street Labs |