Risk management for trading in multiple frequencies

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.

• Type: Journal
• Year: 2011
• Where: ICASSP
• Authors: Mustafa U. Torun, Ali N. Akansu, Marco Avellaneda
• Keywords: ICASSP 2011, NASDAQ 100 Index, Risk Management, Risk Management Methods, Signal Processing