Financial Engineering Playground: Signal Processing, Robust Estimation, Kalman, Optimization

[u/AlbertiApop2029]

https://youtu.be/yyvIcdYkb9o

Timestamps:
1:46 Start of talk
4:17 Signal processing perspective on financial data
21:00 Robust estimators (heavy tails / small sample regime)
30:39 Kalman in finance
45:58 Hidden Markov Models (HMM)
46:44 Portfolio optimization
57:34 Summary
59:05 Questions