Financial Engineering Playground: Signal Processing, Robust Estimation, Kalman, Optimization

Plenary Talk "Financial Engineering Playground: Signal Processing, Robust Estimation, Kalman, HMM, Optimization, et Cetera" by Prof. Daniel P. Palomar delivered at the IEEE Statistical Signal Processing Workshop (SSP), Freiburg, Germany, on 11 June 2018. 📚 Portfolio Optimization book: https://portfoliooptimizationbook.com Timestamps: 1:46 Start of talk 4:17 Signal processing perspective on financial data 21:00 Robust estimators (heavy tails / small sample regime) 30:39 Kalman in finance 45:58 Hidden Markov Models (HMM) 46:44 Portfolio optimization 57:34 Summary 59:05 Questions Follow me: - Prof. Daniel P. Palomar: https://www.danielppalomar.com - LinkedIn: https://www.linkedin.com/in/daniel-palomar-8373a1b7 - YouTube: https://www.youtube.com/danielpalomar - GitHub: https://github.com/convexfi, https://github.com/dppalomar - X: https://x.com/danielppalomar - Google Scholar: https://scholar.google.com/danielpalomar