Signal and finance
Program
9:30-9:50 W. Pieczynski (Telecom SudParis)
- Unsupervised segmentation of long-memory processes
Abstract (in French) Slides (PDF, 259 kB)
9:50-10:10 J.-M. Vesin (Ecole Polytechnique Fédérale de Lausanne)
- Test Methods using Complexity/Predictability
Abstract
10:10-10:30 E. Bacry (Ecole Polytechnique)
- Parametric Estimate for Dual Asymptote in Financial Time Series
Abstract (in French)
10:30-11:00 Coffee break
11:00-11:20 E. Moulines (Telecom ParisTech)
- Calibrating Diffusion Models using Particle Methods
Abstract (in French)
11:20-11:40 A. Pichot E. Moulines (Telecom ParisTech)
- Covariance Estimation for Asynchronous Flows
11:40-12:00 R. Douc (Telecom SudParis)
- Smoothing Distributions Approximations in the Hidden Markov Chains using Particle Methods
Abstract (in French)
12:00-13:30 Lunch
13:30-13:50 M. Jabloun (Ecole Polytechnique Fédérale de Lausanne)
- Characterizing Financial Time Series using Phase Correction (PRSA)
Abstract (in French)
13:50-14:10 M. Hoffman (ENSAE ParisTech)
- Microstructure Noise and Multi-Scale Correlation: an Approach by Point Processes
Abstract (in French)
14:10-14:30 A. Clément- Grancourt (Française des Placements)
-Improvements of Portfolio Management by Denoising Financial Data
Abstract (in French)
14:30-14:50 Q. Giai Gianetto (Telecom Bretagne / Federal Finance)
- Out performance analysis by Hidden Markov Model
Abstract
14:50-15:10 I. Zovko (Riskdata)
- Modeling of Limit Order Books by Particle Methods and Dimensional Analysis
Abstract Slides (PDF, 2.61 MB)
15:10-15:30 Coffee break + Discussion