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Financial Signal Processing and Machine Learning by Dmitry M. Malioutov, Sanjeev R. Kulkarni, Ali N. Akansu

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Index

  1. References to figures are given in bold type. References to tables are given in italic type.
  2. ACF see autocorrelation functions
  3. adaptive lasso
  4. anti-monotone sets
  5. AR(1) process
    1. Eigen subspace
    2. KLT kernel derivation
    3. orthogonal subspace
      1. Karhunen-Loeve transform
      2. performance matrices
    4. power spectral density
    5. stochastic signal model
  6. arbitrage
  7. ARCH model
    1. nonparametric tests
    2. parametric tests
  8. Archimedean copula
  9. assets, mean-reverting
  10. autocorrelation functions (ACF)
    1. Kendall's tau
    2. misspecification testing
      1. conditional heteroscedascicity
      2. Ljung-Box
    3. Spearman's rho
  11. autocovariance
  12. autoregressive conditional heteroscedasticity (ARCH)
  13. backward simulation (BS)
  14. BEKK Garch model
  15. bias
  16. BIC criterion
  17. bid-ask price
  18. big data finance
  19. Black-Scholes model
  20. BS method
  21. capital market line
  22. causal strength modeling
  23. causal strength modeling (CSM)
  24. CDVine
  25. CLIME
  26. co-monotone sets
  27. coherent risk measure
  28. cointegration-based trading strategies
  29. collateralized debt obligation (CDO)
  30. conditional sparsity
  31. conditional value at risk (CVaR)
    1. minimization
      1. support vector machines
  32. conditional value at risk (CVaR)
    1. portfolio selection
    2. as risk measure
    3. robust optimization
    4. under finite scenarios
    5. under normal distribution
  33. constant relative risk aversion (CRRA)
  34. constant shift insensitivity
  35. contract asymptotics
  36. convex relaxation
  37. copula modeling
    1. Archimedean
    2. multiple variables
    3. parametric
    4. product copula
    5. software
  38. copula (software)
  39. correlation measures
    1. copulas
      1. fitting
    2. dependence types
      1. positive and negative

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