Plenary Talk "Financial Engineering Playground: Signal Processing, Robust Estimation, Kalman, HMM, Optimization, et Cetera" by Prof. Daniel P. Palomar delivered at the IEEE Statistical Signal Processing Workshop (SSP), Freiburg, Germany, on 11 June 2018.

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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

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