A Signal Processing Perspective of Financial Engineering

Financial engineering and electrical engineering are seemingly different areas that share strong underlying connections. Both areas rely on statistical analysis and modeling of systems; either modeling the financial markets or modeling, say, wireless communication channels. Having a model of reality allows us to make predictions and to optimize the strategies. It is as important to optimize our investment strategies in a financial market as it is to optimize the signal transmitted by an antenna in a wireless link. This monograph provides a survey of financial engineering from a signal processing perspective, that is, it reviews financial modeling, the design of quantitative investment strategies, and order execution with comparison to seemingly different problems in signal processing and communication systems, such as signal modeling, filter/beamforming design, network scheduling, and power allocation. Y. Feng and D. P. Palomar. A Signal Processing Perspective on Financial Engineering. Foundations and Trends © in Signal Processing, vol. 9, no. 1-2, pp. 1–231, 2015. DOI: 10.1561/2000000072.