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TU1.I: Signal Processing Methods for Finance Applications

Session Type: Lecture
Time: Tuesday, 5 May, 11:30 - 13:30
Location: On-Demand
Session Chair: Ali Akansu, New Jersey Institute of Technology
 
   TU1.I.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
 
   TU1.I.2: A RECURSIVE BAYESIAN SOLUTION FOR THE EXCESS OVER THRESHOLD DISTRIBUTION WITH STOCHASTIC PARAMETERS
         Douglas Johnston; Farmingdale State College
         Petar Djuric; Stony Brook University
 
   TU1.I.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
 
   TU1.I.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
 
   TU1.I.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
 
   TU1.I.6: CORRGAN: SAMPLING REALISTIC FINANCIAL CORRELATION MATRICES USING GENERATIVE ADVERSARIAL NETWORKS
         Gautier Marti; Shell Street Labs