Risk management for trading in multiple frequencies

Authors

Mustafa U. Torun, Newark College of Engineering
Ali N. Akansu, Newark College of Engineering
Marco Avellaneda, Courant Institute of Mathematical Sciences

Document Type

Conference Proceeding

Publication Date

8-18-2011

Abstract

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 high-light the merit of the proposed portfolio risk management methods. © 2011 IEEE.

Identifier

80051617066 (Scopus)

ISBN

[9781457705397]

Publication Title

ICASSP IEEE International Conference on Acoustics Speech and Signal Processing Proceedings

External Full Text Location

https://doi.org/10.1109/ICASSP.2011.5947663

ISSN

15206149

First Page

5736

Last Page

5739

Recommended Citation

Torun, Mustafa U.; Akansu, Ali N.; and Avellaneda, Marco, "Risk management for trading in multiple frequencies" (2011). Faculty Publications. 11222.
https://digitalcommons.njit.edu/fac_pubs/11222