Technical Program
SS-L6: Financial Signal Processing and Electronic Trading |
| Session Type: Lecture |
| Time: Thursday, May 30, 15:20 - 17:20 |
| Location: Room 110 |
| Session Chairs: Ali N. Akansu, New Jersey Institute of Technology and Ilya Pollak, Purdue University |
| SS-L6.1: REPLICATION AND OPTIMIZATION OF HEDGE FUND RISK FACTOR EXPOSURES |
| Douglas Johnston; Quantalysis, LLC |
| Inigo Urteaga; Stony Brook University |
| Petar Djuric; Stony Brook University |
| SS-L6.2: GROWTH OPTIMAL INVESTMENT WITH THRESHOLD REBALANCING PORTFOLIOS UNDER TRANSACTION COSTS |
| Sait Tunc; Georgia Institute of Technology |
| Mehmet Donmez; Koc University |
| Suleyman Kozat; Bilkent University |
| SS-L6.3: LOCALLY STATIONARY VECTOR PROCESSES AND ADAPTIVE MULTIVARIATE MODELING |
| David S. Matteson; Cornell University |
| Nicholas A. James; Cornell University |
| William B. Nicholson; Cornell University |
| Louis C. Segalini; Cornell University |
| SS-L6.4: FPGA BASED EIGENFILTERING FOR REAL-TIME PORTFOLIO RISK ANALYSIS |
| Mustafa U. Torun; New Jersey Institute of Technology |
| Onur Yilmaz; New Jersey Institute of Technology |
| Ali N. Akansu; New Jersey Institute of Technology |
| SS-L6.5: DYNAMICAL COMPLEXITY ANALYSIS OF MULTIVARIATE FINANCIAL DATA |
| Wenjun Er; Imperial College London |
| Danilo P. Mandic; Imperial College London |
| SS-L6.6: DETECTING ASSET VALUE DISLOCATIONS IN MULTI-AGENT MODELS OF MARKET MICROSTRUCTURE |
| Vikram Krishnamurthy; University of British Columbia |
| Anup Aryan; University of British Columbia |