Financial Engineering Playground: Signal Processing, Robust Estimation, Kalman, Optimization

[@hpix123]

Incredible talk! Timestamps: 1:46 Start of talk 4:17 Signal processing perspective on financial data 21:00 Robust estimators (heavy tails / small samples) 30:39 Kalman in finance 46:44 Portfolio optimization 57:34 Summary 59:05 Questions

[@danielpalomar]

Thanks for the timestamps!

[@pan19682]

I think that all are amazing how do we put them into practice is an another issue

[@kyuss0x1]

41:14 most dramatic part of the talk "the regime has changed, cointegration has been lost ! the gamma, the gamma has changed! " this quote gets the oscar

[@arbitrage-technologies487]

students and theorists dont understand how almost all of that is fake un real life trading

[@louisszeto31620000]

I wish my professor would give a presentation like you, so enthusiatic that my attention didnt move away for the whole hour

[@danielpalomar]

Thanks!

[@shivampundir2858]

A working quant here , This talk definitely motivates me to check out signal processing side of theory.

[@matthewantin4728]

This is absolutely amazing, currently an undergraduate studying mathematics with limited statistical knowledge however your concepts especially discussing co-integration and using Kalman filter for pairs trading was incredibly insightful. Took plenty of notes and will definitely be returning to this video. Huge thanks Professor!

[@hughjorgen5588]

Magnificent talk. If only all lecturers were as enthusiastic and engaging as yourself. Bravo!

[@samis1219]

I really appreciate you, prof.. I have solid finance and statistics background, but your codes have been very helpful🎉🎉🎉🎉🎉

[@Anyone.c]

Your energy, research and presentation!🔥 Thank you so very much Sir! I'm an EC engineer in the last year interested in finance. You just gave me the perfect thing for my final year project!

[@sinan_islam]

I cant count how many times I watched this lecture. It is like an interesting movie!

[@kevinpowerone]

porfavor nunca deje de subir videos! desearia poder seguir estudiando en universidad para tomar estas oportunidades, lo bueno es que pude encontrarlo en youtube y aprender de sus papers, libros y videos, gracias por compartir lo que sabe por aqui! espero poder seguir viendo mas de usted

[@danielpalomar]

Thanks!!

[@saapman]

Engaging speaker and excellent presentation! Love this video. Thanks for posting.

[@myowndrummer3372]

I can confirm his book is still available for free on the U of HK site.

[@mariglebeew3038]

Wow, I just wanna say this is absolutely beautiful work.

[@tridunghuynh5573]

Thank you Prof. Daniel for very attractive talk

[@danielpalomar]

My pleasure!

[@kbirdx]

Thank you sir! watching this in 2022 and still very relevant!

[@bongkem2723]

amazing lecture sir!

[@JamesZ2007]

This is a very excellent talk. I love the contents, and more love the professor's passion :)

[@Septumsempra8818]

This is a gold mine. Keep up the good work. s/o from South Africa

[@brysoncrimmins3407]

Thanks for the material. In the slide "LS Regression for Pairs Trading" (1) what are the dotted horizontal lines? I'm assuming these lines are used as thresholds for buy/sell signals. (2) When you say 'gamma' is this the same thing as the coefficient between each pair after fitting a linear regression?

[@bansalnvn]

really good information provided in short amount of time. Kudos 👍

[@freedomboy169]

hey i have observed there as is cointigration and cointegration if u use lenghth instead of a fixed point as u used as from zero due to this slowly slowly it is not cointegreating . i used dynamic length so we will always use latest data instead of fixed point .

[@freedomboy169]

33:36

[@franciscolibanomonteiro3177]

This is impressive! Thanks

[@danielpalomar]

Glad you like it!

[@nicolaspesci7331]

Excellent presentation. Will take a look at your book!

[@danielpalomar]

Awesome, thank you!

[@axe863]

6:35. SP500 log returns are locally stationary but that the argument for assigning it a non-stationary designation via the existence of volatility clustering of any type is not valid. Volatility clustering doesn't not necessarily imply non-stationary. Slowly varying unconditional volatility implies non-stationarity but GARCHian class volatility for most parameters does not.

[@danielpalomar]

You are correct indeed! 👍

[@tighthead03]

Fantastic talk, really enjoyed it. In today's world is it plausible that a lay person can successfully compete in pairs trading? I've a background as an RF engineer and now working in data science. Thanks

[@lividpudding8565]

Thanks for sharing! Love your enthusiastic way of teaching!

[@davidecoldebella550]

In slides @8:50, where the histograms are shown, how was the histogram bin width chosen? Thank you.

[@Npnpnp468]

Amazing lecture made it very easy to understand!

[@Alienbass1]

Amazing lecture. Thank you!👍🏾👍🏾

[@merahulg]

Amazing talk!

[@Eigus-BikeCo]

Gracias Daniel. ¡Buenísima presentación! Ahora habrá que implementar

[@nschweiz1]

Great talk! Why wouldn't you just retrain your kalman filter nightly instead of using a fixed training period?

[@danielpalomar]

Indeed, you can retrain the model whenever convenient. For more information, please check Chapter 15 in my new book: portfoliooptimizationbook.com

[@mathelecs]

Absolutely fantastic lecture!

[@KamalP1993]

Great talk

[@geetatripathi4552]

Where was signal processing in the talk?

[@muskduh]

Thanks for the video lecture!

[@jaivratsingh9966]

Excellent!

[@rayanamer2999]

Just wow

[@anthonyli8772]

Crazy how people spend upwards of $100k or more on undergrad & masters tution to learn about all these information and it just sits here free. What a world we live in.

[@dannyboy900102]

But to get a job offer or post doc positions, they will still require formal qualifications. People are essentially paying for the formal qualification (and networking of course)

[@bongkem2723]

and Havard, MIT open cources are all free, great time for learners indeed!!!

[@mdaplaton]

Thx for the content! Can anyone recommend me a book that details the contents of this presentation to further study the topic?

[@danielpalomar]

Some material appears here: Yiyong Feng and Daniel P. Palomar, A Signal Processing Perspective on Financial Engineering, Foundations and Trends® in Signal Processing, Now Publishers, 2016. [palomar.home.ece.ust.hk/papers/2016/Feng&Palomar-FnT2016.pdf

[@gs-e2d]

@@danielpalomar Hello Sir, Link is not working.

[@danielpalomar]

​@@gs-e2d Fixed!

[@danielpalomar]

In this webpage you can find my new book as well as slides, R code, and Python code that I will be adding: portfoliooptimizationbook.com

[@ar-4775]

Thanks for this talk, it was great! What was the name of the talk was given by your student?

[@gilbhollh1249]

Great presentation sir. I have a question. The efficiency of kalman filter against rolling regression doesnt depend on the signal/noise ratio? I ve seen terrible results of KF in this context...

[@danielpalomar]

It all depends on the choice of the parameters. If properly chosen, Kalman is always superior than a rolling regression. For more information, please check Chapter 15 in my new book: portfoliooptimizationbook.com

[@robbieirobot]

Are there any good books that also go over these topics on signal processing?

[@danielpalomar]

I am happy to say that I have just released my new book, available online for free: portfoliooptimizationbook.com

[@robbieirobot]

@@danielpalomar thank you!

[@sultanalshirah]

​@@danielpalomar thank you very much Prof. Daniel. If am starting, should I start with this one or the Perspective book?

[@danielpalomar]

@@sultanalshirah The Perspective book is much shorter indeed. Of course you can also read selected chapters in the new longer book (e.g., chapters 1,2,3,6,7,8,...). Up to you.

[@FreeMarketSwine]

Is there anything you can point to in terms of implementation details for the Kalman strategy? Mainly, 1) do you track position and volatility or just position, and 2) is there a process for setting the initial parameters for the model? And apart from the Kalman element, is there a recommended procedure for determining the pairs? Very interesting video.

[@danielpalomar]

For more information, please check Chapter 15 in my new book: portfoliooptimizationbook.com

[@mingqiang-wu4mv]

Sir, can i get the PPT?

[@danielpalomar]

In this webpage you can find my new book as well as slides, R code, and Python code that I will be adding: portfoliooptimizationbook.com

[@wy2528]

This is really interesting 😃

[@bicepjai]

Thanks for a great talk. where can one download the slides ?

[@danielpalomar]

In this webpage you can find my new book as well as slides, R code, and Python code that I will be adding: portfoliooptimizationbook.com

[@somedude2050]

37:44

[@danielpalomar]

😉

[@mquant001]

brillant

[@junal27]

No hay que dar por hecho que la audiencia sabe todo y sugiero que al presentar estes un poco mas calmado. De todas maneras gracias

[@fruityfriend]

He repeatedly misspelled 'Markov' in his slides. What a weird mistake to make for someone who works in his field. (that aside the talk was very interesting and he presented it masterfully ...)

[@sELFhATINGiNDIAN]

No

[@Timothyjackzon]

I used to think like this, too, until I grew up

[@MsBowner]

There is no time in this conference XD

[@gamuchiraindawana2827]

When he likened intraday charts to the quantum world, I died fam...

[@kennethyeung3688]

Very charming man

[@faridaahadli1504]

Incredible talk, I get sinister giggles when smb treats Gaussian like a slut!

[@gamuchiraindawana2827]

Shit it does look like speech recording, he's on to something...

[@anoojpatel7492]

free alpha

[@Onnti]

ta loco

[@WahranRai]

Kalman Rushdie !

[@fwm146]

Fcuk rocket science. This blows one's mind 😭😍😍

[@PavanMuppala]

Palomar is sweet 🫡