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Financial signal processing is a branch of signal processing technologies which applies to signals within financial markets. They are often used by quantitative analysts to make best estimation of the movement of financial markets, such as stock prices, options prices, or other types of derivatives.
The modern start of financial signal processing is often credited to Claude Shannon. Shannon was the inventor of modern communication theory. He discovered the capacity of a communication channel by analyzing entropy of information. [1]
For a long time, financial signal processing technologies have been used by different hedge funds, such as Jim Simon's Renaissance Technologies. However, hedge funds usually do not reveal their trade secrets. Some early research results in this area are summarized by R.H. Tütüncü and M. Koenig [2] and by T.M. Cover, J.A. Thomas. [3] A.N. Akansu and M.U. Torun published the book in financial signal processing entitled A Primer for Financial Engineering: Financial Signal Processing and Electronic Trading. [4] An edited volume on the subject with the title Financial Signal Processing and Machine Learning was also published. [5]
The first IEEE International Conference on Acoustics, Speech, and Signal Processing session on Financial Signal Processing was organized at ICASSP 2011 in Prague, Czech Republic. [6] There were two special issues of IEEE Journal of Selected Topics in Signal Processing published on Signal Processing Methods in Finance and Electronic Trading in 2012, [7] and on Financial Signal Processing and Machine Learning for Electronic Trading in 2016 [8] in addition to the special section on Signal Processing for Financial Applications in IEEE Signal Processing Magazine appeared in 2011. [9]
Recently, a new research group in Imperial College London has been formed which focuses on Financial Signal Processing as part of the Communication and Signal Processing Group of the Electrical and Electronic Engineering department, [10] led by Anthony G. Constantinides. In June 2014, the group started a collaboration with the Schroders Multi-Asset Investments and Portfolio Solutions (MAPS) team on multi-asset study. [11]
Other research groups working on the financial signal processing include the Convex Research Group of Prof. Daniel Palomar [12] and the Signal Processing and Computational Biology Group led by Prof. Matthew R. McKay at the Hong Kong University of Science and Technology [13] and Stanford University Convex Optimization Group led by Prof. Stephen Boyd at the Stanford University. [14] There are also open source libraries available for index tracking and portfolio optimization. [15] [16]
Signal processing is an electrical engineering subfield that focuses on analyzing, modifying and synthesizing signals such as sound, images, and scientific measurements. Signal processing techniques are used to optimize transmissions, digital storage efficiency, correcting distorted signals, subjective video quality and to also detect or pinpoint components of interest in a measured signal.
The Institute of Electrical and Electronics Engineers (IEEE) is a 501(c)(3) professional association for electronic engineering and electrical engineering with its corporate office in New York City and its operations center in Piscataway, New Jersey. It was formed in 1963 from the amalgamation of the American Institute of Electrical Engineers and the Institute of Radio Engineers.
Ali Naci Akansu is a Turkish-American Professor of electrical & computer engineering and scientist in applied mathematics.
Chi-fu Huang is a private investor, a retired hedge fund manager, and a former finance academic. He has made contributions to the theory of financial economics, writing on dynamic general equilibrium theory, intertemporal utility theory, and the theory of individual consumption and portfolio decisions.
Investment Technology Group, Inc. was a United States-based multinational agency brokerage and financial markets technology firm aimed at a hedge fund and asset management clientele. One of the first suppliers of electronic trading services, ITG launched the industry’s second anonymous electronic trade matching system, POSIT, in 1987. ITG has since expanded its business to include tools for portfolio management, pre-trade analysis, order management, trade execution, and post-trade evaluation.
IEEE Xplore digital library is a research database for discovery and access to journal articles, conference proceedings, technical standards, and related materials on computer science, electrical engineering and electronics, and allied fields. It contains material published mainly by the Institute of Electrical and Electronics Engineers (IEEE) and other partner publishers. IEEE Xplore provides web access to more than 5 million documents from publications in computer science, electrical engineering, electronics and allied fields. Its documents and other materials comprise more than 300 peer-reviewed journals, more than 1,900 global conferences, more than 11,000 technical standards, almost 5,000 ebooks, and over 500 online courses. Approximately 20,000 new documents are added each month. Anyone can search IEEE Xplore and find bibliographic records and abstracts for its contents, while access to full-text documents may require an individual or institutional subscription.
Teresa Huai-Ying Meng is a Taiwanese-American academician and entrepreneur. She is the Reid Weaver Dennis Professor of Electrical Engineering, Emerita, at Stanford University, and founder of Atheros Communications, a wireless semiconductor company acquired by Qualcomm, Inc.
Ignacio J. Pérez Arriaga is a Spanish professor of Engineering, Economics and Regulation of the Electric Power Sector, currently at the Massachusetts Institute of Technology and the ICAI School of Engineering. He is a life member of the Royal Academy of Engineering of Spain. He has been a major contributor across the spectrum of electric power systems, from system dynamic analysis, monitoring and diagnosis at the start of his academic career, to economic and regulatory analysis.
Stephen P. Boyd is an American professor and control theorist. He is the Samsung Professor of Engineering, Professor in Electrical Engineering, and professor by courtesy in Computer Science and Management Science & Engineering at Stanford University. He is also affiliated with Stanford's Institute for Computational and Mathematical Engineering (ICME).
Saraju Mohanty is an American professor of the Department of Computer Science and Engineering, and the director of the Smart Electronic Systems Laboratory, at the University of North Texas in Denton, Texas. Mohanty received a Glorious India Award – Rich and Famous NRIs of America in 2017 for his contributions to the discipline. Mohanty is a researcher in the areas of "consumer electronics for smart cities", "application-Specific things for efficient edge computing", and "methodologies for digital and mixed-signal hardware". He has made significant research contributions to security and IP protection of consumer electronic systems, hardware-assisted security and protection, high-level synthesis of digital signal processing (DSP) hardware, and mixed-signal integrated circuit computer-aided design and electronic design automation. Mohanty has been the editor-in-chief (EiC) of the IEEE Consumer Electronics Magazine since 2016. He has held the Chair of the IEEE Computer Society's Technical Committee on Very Large Scale Integration since September 2014. He holds 4 US patents in the areas of his research, and has published 220 research articles and 3 books.
AlfonsoFarinaFREng is an Italian electronic engineer and former industry manager. He is most noted for the development of the track while scan techniques for radars and generally for the development of a wide range of signal processing techniques used for sensors where tracking plays an essential role. He is author of about 1000 publications. His work was aimed to a synergistic cooperation between industry and academy.
The Iran Workshop on Communication and Information Theory (IWCIT) is an international academic workshop that is held annually in one of the Iranian University campuses. The purpose of this workshop is to bring together researchers in frontiers of communication and information theory worldwide to share and engage in various research activities.
Shrikanth Narayanan is an Indian-American Professor at the University of Southern California. He is an interdisciplinary engineer-scientist with a focus on human-centered signal processing and machine intelligence with speech and spoken language processing at its core. A prolific award-winning researcher, educator, and inventor, with hundreds of publications and a number of acclaimed patents to his credit, he has pioneered several research areas including in computational speech science, speech and human language technologies, audio, music and multimedia engineering, human sensing and imaging technologies, emotions research and affective computing, behavioral signal processing, and computational media intelligence. His technical contributions cover a range of applications including in defense, security, health, education, media, and the arts. His contributions continue to impact numerous domains including in human health, national defense/intelligence, and the media arts including in using technologies that facilitate awareness and support of diversity and inclusion. His award-winning patents have contributed to the proliferation of speech technologies on the cloud and on mobile devices and in enabling novel emotion-aware artificial intelligence technologies.
Palghat P. Vaidyanathan is the Kiyo and Eiko Tomiyasu Professor of Electrical Engineering at the California Institute of Technology, Pasadena, California, USA, where he teaches and leads research in the area of signal processing, especially digital signal processing (DSP), and its applications. He has authored four books, and authored or coauthored close to six hundred papers in various IEEE journals and conferences. Prof. Vaidyanathan received his B.Tech and M. Tech degrees from the Institute of Radiophysics and Electronics, University of Kolkata, and a Ph.D degree in Electrical Engineering from University of California Santa Barbara in 1982.
Jeff Collins was a British electrical engineer who directed and researched experimental physics, robotics, microelectronics, communications technologies and parallel computing.
Muyinatu “Bisi” A. Lediju Bell is the John C. Malone Associate Professor of Biomedical Engineering, Electrical and Computer Engineering, and Computer Science at Johns Hopkins University. She is director of the Photoacoustic and Ultrasonic Systems Engineering Laboratory.
Yonina C. Eldar is an Israeli professor of electrical engineering at the Weizmann Institute of Science, known for her pioneering work on sub-Nyquist sampling.
Vishal Monga is an Indian American electrical engineer, researcher and academic. He is a Professor of Electrical Engineering at the Pennsylvania State University.
Zhi-Quan (Tom) Luo is Vice President (Academic), Director of Shenzhen Research Institute of Big Data and Director of CUHK(SZ)-Tencent AI Lab Joint Laboratory on Machine Intelligence.
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