3 accepted papers
Stock market returns are typically analyzed using standard regression models yet they reside on irregular domains, a natural scenario for graph signal processing. This motivates us to consider a market graph as an intuitive way to represent the relationships between financial assets. Traditional met…
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such models are inadequate for real-world markets as they employ standard time-averaging based estimators which suffer significant…
Principal component analysis (PCA) is considered a quintessential data analysis technique when it comes to describing linear relationships between the features of a dataset. However, the well-known lack of robustness of PCA for non-Gaussian data and/or outliers often makes its practical use unreliab…