Technical Program

SIPFEb.PA: Signal and Information Processing in Finance and Economics II

Symposium: Signal and Information Processing in Finance and Economics
Session Type: Poster
Time: Tuesday, December 3, 16:00 - 18:00
Location: Poster Area A
 
SIPFEb.PA.1: NON-PARAMETRIC PREDICTION IN A LIMIT ORDER BOOK
         Deepan Palguna; Purdue University
         Ilya Pollak; Purdue University
 
SIPFEb.PA.2: BEYOND PCA FOR MODELING FINANCIAL TIME-SERIES
         Dmitry Malioutov; IBM Research
 
SIPFEb.PA.3: SPARSE SIMPLEX PROJECTIONS FOR PORTFOLIO OPTIMIZATION
         Anastasios Kyrillidis; École Polytechnique Fédérale de Lausanne
         Stephen Becker; UPMC, Paris 6
         Volkan Cevher; École Polytechnique Fédérale de Lausanne
         Christoph Koch; École Polytechnique Fédérale de Lausanne
 
SIPFEb.PA.4: MULTIFACTOR SYSTEMATIC RISK ANALYSIS BASED ON PIECEWISE MEAN REVERTING MODEL
         Luan Vo; Ryerson University
         Xiao-Ping Zhang; Ryerson University
         Fang Wang; Wilfrid Laurier University
 
SIPFEb.PA.5: FACTOR MODEL ESTIMATION BY USING THE ALPHA-EM ALGORITHM
         Tengjie Jia; Stony Brook University
 
SIPFEb.PA.6: PIECEWISE CONSTANT MODELING AND KALMAN FILTER TRACKING OF SYSTEMATIC MARKET RISK
         Triloke Rajbhandary; Ryerson University
         Xiao-Ping Zhang; Ryerson University
         Fang Wang; Wilfrid Laurier University
 
SIPFEb.PA.7: AN ANALYSIS OF THE U.S. GROSS STATE PRODUCT CO-MOVEMENT USING THE MINIMUM DOMINATING SET
         Theophilos Papadimitriou; Democritus University of Thrace
         Periklis Gogas; Democritus University of Thrace
         Georgios Antonios Sarantitis; Democritus University of Thrace
 
SIPFEb.PA.8: MODELING RISK OF LOW LATENCY TRADING STRATEGIES
         Yuri Balasanov; University of Chicago
         Alexander Doynikov; The Moscow State University
         Victor Korolev; The Moscow State University
         Leonid Nazarov; The Moscow State University