IEEE Signal Processing Magazine Special Issue on Signal Processing for Financial Applications


Last modified: Sat Jan 7 01:04:49 EST 2012

Publication date: September 2011.

Editorial by Ilya Pollak, Marco Avellaneda, Emmanuel Bacry, Rama Cont, and Sanjeev Kulkarni.

Papers.
Rama Cont. Statistical Modeling of High Frequency Financial Data: Facts, Models, and Challenges.
Douglas E. Johnston and Petar M. Djurić. Risk Management: A Signal Processing Perspective.
Emmanuelle Jay, Patrick Duvaut, Serge Darolles, and Arnaud Chrétien. Multi-factor Models and Signal Processing Techniques: Survey and Example.
Girish Ganesan. A Subspace Approach to Portfolio Analysis.
Mustafa U. Torun, Ali N. Akansu, and Marco Avellaneda. Portfolio Risk in Multiple Frequencies.
David S. Matteson and David Ruppert. GARCH Models of Dynamic Volatility and Correlation.
Kush R. Varshney and Aleksandra Mojsilović. Business Analytics Based on Financial Time Series.

Related articles in the same issue of the Signal Processing Magazine.
Ilya Pollak. Education column: Financial Applications in Signal Processing Curricula.
Ilya Pollak. Review of the book Statistics and Data Analysis for Financial Engineering by David Ruppert.



Call for papers.

About IEEE Signal Processing Magazine:
As of 2010, highest ISI impact factor among all electrical/electronic engineering journals (4.914).
Publishes tutorial articles on topics of current interest to the signal processing community.

Information for authors.