Title :
Risk management for trading in multiple frequencies
Author :
Torun, Mustafa U. ; Akansu, Ali N. ; Avellaneda, Marco
Author_Institution :
Dept. of Electr. & Comput. Eng., New Jersey Inst. of Technol., Newark, NJ, USA
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 highlight the merit of the proposed portfolio risk management methods.
Keywords :
investment; risk management; NASDAQ 100 index; back-testing; investment universe; multiple frequencies; portfolio risk management methods; Correlation; Ellipsoids; Frequency measurement; Investments; Portfolios; Risk management; Symmetric matrices; Multiple Frequency Trading; Risk Management; Risk Measurement;
Conference_Titel :
Acoustics, Speech and Signal Processing (ICASSP), 2011 IEEE International Conference on
Conference_Location :
Prague
Print_ISBN :
978-1-4577-0538-0
Electronic_ISBN :
1520-6149
DOI :
10.1109/ICASSP.2011.5947663
