Risk management for trading in multiple frequencies

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

Research output: Chapter in Book/Report/Conference proceedingConference 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 languageEnglish (US)
Title of host publication2011 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011 - Proceedings
Pages5736-5739
Number of pages4
DOIs
StatePublished - Aug 18 2011
Event36th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011 - Prague, Czech Republic
Duration: May 22 2011May 27 2011

Publication series

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

Other

Other36th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011
CountryCzech Republic
CityPrague
Period5/22/115/27/11

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Keywords

  • Multiple Frequency Trading
  • Risk Management
  • Risk Measurement

ASJC Scopus subject areas

  • Software
  • Signal Processing
  • Electrical and Electronic Engineering

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). [5947663] (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings). https://doi.org/10.1109/ICASSP.2011.5947663