Multifactor Models: Examining the potential of signal processing techniques

Emmanuelle Jay (), Patrick Duvaut, Serge Darolles () and Arnaud Chretien
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Emmanuelle Jay: QAMLab - QAMLab
Patrick Duvaut: ETIS - UMR 8051 - Equipes Traitement de l'Information et Systèmes - ENSEA - Ecole Nationale Supérieure de l'Electronique et de ses Applications - CNRS - Centre National de la Recherche Scientifique - CY - CY Cergy Paris Université
Serge Darolles: DRM-Finance - DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Arnaud Chretien: Aequam Capital - Aequam Capital

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Abstract: This article surveys the existing literature on the most widely used factor models employed in the realm of a financial asset pricing field. Through the concrete application of evaluating risks in the hedge fund industry, this article demonstrates that signal processing techniques are an interesting alternative to the selection of factors and can provide more efficient estimation procedure than classical techniques.

Keywords: Multifactor Models; signal processing techniques; Hedge funds (search for similar items in EconPapers)
Date: 2011-09-01
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Published in IEEE Signal Processing Magazine, 2011, pp.37-48. ⟨10.1109/MSP.2011.000000⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00677733

DOI: 10.1109/MSP.2011.000000

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