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

2 жыл бұрын

Thanks for the timestamps!

@user-oh3db8mq4b

7 ай бұрын

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

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

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

@danielpalomar

3 жыл бұрын

Thanks!

Amazing lecture. Thank you!👍🏾👍🏾

Thanks for sharing! Love your enthusiastic way of teaching!

Absolutely fantastic lecture!

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

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

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!

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!

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

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

Amazing lecture made it very easy to understand!

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

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

2 ай бұрын

Thanks!!

Great talk

Thanks for the video lecture!

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

Just bright and wonderful, all my ideas developed beautifully 🎉

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

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

Amazing talk!

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.

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

2 жыл бұрын

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)

Excellent!

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...

This is impressive! Thanks

@danielpalomar

3 жыл бұрын

Glad you like it!

Thank you Prof. Daniel for very attractive talk

@danielpalomar

3 жыл бұрын

My pleasure!

Gracias Daniel. ¡Buenísima presentación! Ahora habrá que implementar

Excellent presentation. Will take a look at your book!

@danielpalomar

3 жыл бұрын

Awesome, thank you!

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

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

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

This is really interesting 😃

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

brillant

Where was signal processing in the talk?

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

4 ай бұрын

You are correct indeed! 👍

Very charming man

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

@danielpalomar

2 жыл бұрын

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

@user-ij9vi6sn8g

5 ай бұрын

@@danielpalomar Hello Sir, Link is not working.

@danielpalomar

5 ай бұрын

​@@user-ij9vi6sn8g Fixed!

37:44

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

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

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

7 күн бұрын

No

There is no time in this conference XD

ta loco

free alpha

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

Kalman Rushdie !

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