Télécom ParisTech


Multi-factor Models and Signal Processing Techniques

Multi-factor Models and Signal Processing Techniques (cover)Application to Quantitative Finance

Serge Darolles, University of Paris-Dauphine, France
Patrick Duvaut, Telecom ParisTech, France
Emmanuelle Jay, QAMLab SAS, Paris, France

With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages “embedded” quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented “risk assessment-based” practices.
This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an interesting alternative to the selection of factors (both fundamentals and statistical factors) and can provide more efficient estimation procedures, based on lq regularized Kalman filtering for instance.
With numerous illustrative examples from stock markets, this book meets the needs of both finance practitioners and graduate students in science, econometrics and finance.

Publication of RFID, a controversial technology: ethnography of the social construction of risk

This book is based on the research conducted by the authors over the last few years on innovation sociology, environment and sustainable development sociology, and controversy sociology in the field of RFID.

Controversial RFID Radio-Frequency Identification (RFID) is a technology for wireless reading and writing using radio frequencies. Its main property, that of non-contact communication, first appeared at the start of the 20th century as an emerging technology in the management of the flows of a global economy, particularly for tracking objects and animals, but also for identifying people.

In the 2000s, RFID seemed to have reached a crucial point of maturity and its economic future looked promising. And yet it has been slow to convert from a niche market to a mass market. RFID raises a very public problem: instead of fulfilling its promise, it comes across as a threat.

In this book the two researchers delve into the controversy and conduct ethnographic research on the public debate and experimentation on usage. They seek to explain the debate through the prism of the risks attributed to the technology. The future of RFID does indeed seem to be controversial – part promoted, part criticized – because by adopting this technology, a societal choice is also being made.

The research upon which the book is based has been conducted through three main fields: the French and English mainstream and trade press, which the authors analyze quantitatively and qualitatively (more than 100,000 documents published between 1990 and 2010); the industry producing RFID and the laboratories doing research into it, which the authors address by means of interviews and direct observation during public events (conferences, forums, training courses); and experimentation on usage, in real-life situations in the field of healthcare (management of healthcare waste with risk of infection), which the authors monitored by participative observation.

The authors

Laura Draetta is a sociologist at Télécom ParisTech, specialized in the issues of sustainable development. Her current research is on the inclusion of social and ecological viability constraints in the development of information and communication technologies.

Alexandre Delanoë is head of sociology research at Télécom ParisTech. His work covers the emergence of public issues related to innovations.

Source : www.mines-telecom.fr/p_en_imt_actu_compresse_RFIDouv_635.html 

Global research report at Telecom ParisTech

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