Risk management for trading in multiple frequencies

Mustafa U. Torun; Ali N. Akansu; Marco Avellaneda

doi:10.1109/ICASSP.2011.5947663

Risk management for trading in multiple frequencies

Mustafa U. Torun, Ali N. Akansu, Marco Avellaneda

Mathematics

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

We present fundamental concepts of risk and propose two methods for risk management of a portfolio in this paper. Moreover, we introduce their novel extensions to trading in multiple frequencies. We use stocks listed in NASDAQ 100 index as the investment universe for our back-testing to high-light the merit of the proposed portfolio risk management methods.

Original language	English (US)
Title of host publication	2011 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011 - Proceedings
Pages	5736-5739
Number of pages	4
DOIs	https://doi.org/10.1109/ICASSP.2011.5947663
State	Published - 2011
Event	36th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011 - Prague, Czech Republic Duration: May 22 2011 → May 27 2011

Publication series

Name	ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
ISSN (Print)	1520-6149

Other

Other	36th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011
Country/Territory	Czech Republic
City	Prague
Period	5/22/11 → 5/27/11

Keywords

Multiple Frequency Trading
Risk Management
Risk Measurement

ASJC Scopus subject areas

Software
Signal Processing
Electrical and Electronic Engineering

Access to Document

10.1109/ICASSP.2011.5947663

Cite this

Torun, M. U., Akansu, A. N., & Avellaneda, M. (2011). Risk management for trading in multiple frequencies. In 2011 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011 - Proceedings (pp. 5736-5739). Article 5947663 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings). https://doi.org/10.1109/ICASSP.2011.5947663

Risk management for trading in multiple frequencies. / Torun, Mustafa U.; Akansu, Ali N.; Avellaneda, Marco.
2011 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011 - Proceedings. 2011. p. 5736-5739 5947663 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Torun, MU, Akansu, AN & Avellaneda, M 2011, Risk management for trading in multiple frequencies. in 2011 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011 - Proceedings., 5947663, ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings, pp. 5736-5739, 36th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011, Prague, Czech Republic, 5/22/11. https://doi.org/10.1109/ICASSP.2011.5947663

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Risk management for trading in multiple frequencies

Abstract

Publication series

Other

Keywords

ASJC Scopus subject areas

Access to Document

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