09:36
"Intraday Volatility-Volume Joint Modeling and Forecasting: A State-space Approach" by Shengjie Xiu
05:49
"Learning Bipartite Graphs: Heavy Tails and Multiple Components" by Jose V. Cardoso
10:17
"Graphical Models in Heavy-tailed Markets" by Jose Vinicius de M. Cardoso
13:23
The POP estimator for the degree of freedom parameter of multivariate t-distribution
07:52
"Honey, Heuristic is Already Optimum" by Rui Zhou
40:47
"Kalman Filtering with Applications in Finance" by Shengjie Xiu
35:34
"Learning Trading Signals" by Xiwen Wang
33:33
"Stock Graphs for Hierarchical Risk Parity Portfolio" by Zé Vinícius
47:59
Learning Graphs in Financial Markets
03:00
Nonconvex Sparse Graph Learning under Laplacian-structured Graphical Models
51:41
Plenary Talk: "Learning graphs of stocks: From iid to time-varying models"
11:34
"Risk Parity Portfolios" by Zé Vinícius
11:48
"A Theoretical Basis for Practitioners 1/N and Long-only Quintile Portfolio" by Rui Zhou
16:47
"M-estimators of scatter with eigenvalue shrinkage" by Prof. Esa Ollila
34:45
Imputation of Time Series with Missing Values under Heavy-Tailed AR Model
01:06:11
Financial Engineering Playground: Signal Processing, Robust Estimation, Kalman, Optimization
02:00
Structured Graph Learning Via Laplacian Spectral Constraints
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About
Welcome to Prof. Daniel Palomar's video channel!
Here you can find technical talks on portfolio designs via optimization methods and financial data analytics, leveraging statistical modeling and deep learning techniques.
📚 Portfolio Optimization book: portfoliooptimizationbook.com
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- Prof. Daniel P. Palomar: www.danielppalomar.com
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