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 |