Daniel Palomar

Hong Kong University of Science and Technology (HKUST)

Professor

Clear Water Bay

Kowloon, 00000

Hong Kong

http://www.danielppalomar.com/

SCHOLARLY PAPERS

7

DOWNLOADS

2,904

SSRN CITATIONS

15

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

Forecasting Intraday Trading Volume: A Kalman Filter Approach

Number of pages: 16 Posted: 26 Apr 2018
Ran Chen, Yiyong Feng and Daniel Palomar
Hong Kong University of Science & Technology (HKUST), Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science and Technology (HKUST)
Downloads 2,127 (14,166)
Citation 6

Abstract:

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Algorithmic trading, EM, intraday trading volume, Kalman filter, Lasso, VWAP

2.

Mean-Reverting Portfolio with Budget Constraint

IEEE Trans. on Signal Processing, vol. 66, no. 9, pp. 2342-2357, May 2018.
Number of pages: 16 Posted: 03 May 2018 Last Revised: 22 Oct 2021
Ziping Zhao and Daniel Palomar
Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science and Technology (HKUST)
Downloads 300 (192,901)
Citation 3

Abstract:

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Portfolio optimization, statistical arbitrage, pairs trading, mean reversion, cointegration, algorithmic trading, quan- titative trading, nonconvex optimization, majorization.

3.

A Markowitz Portfolio Approach to Options Trading

Number of pages: 16 Posted: 15 Jul 2018
Licheng Zhao and Daniel Palomar
The Chinese University of Hong Kong, Shenzhen - Shenzhen Research Institute of Big Data and Hong Kong University of Science and Technology (HKUST)
Downloads 178 (316,898)

Abstract:

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Option portfolio, Markowitz portfolio, transaction cost, robust portfolio, Black-Litterman

4.

Sparse Portfolios for High-Dimensional Financial Index Tracking

EEE Trans. on Signal Processing, vol. 66, no. 1, pp. 155-170, Jan. 2018.
Number of pages: 16 Posted: 05 Jan 2018 Last Revised: 22 Oct 2021
Konstantinos Benidis, Yiyong Feng and Daniel Palomar
Hong Kong University of Science & Technology (HKUST) - Department of Electronic and Computer Engineering, Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science and Technology (HKUST)
Downloads 142 (383,156)
Citation 1

Abstract:

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Index tracking, sparsity, majorization-minimization

5.

Understanding the Quintile Portfolio

IEEE Transactions on Signal Processing, vol. 68, pp. 4030-4040, July 2020.
Number of pages: 11 Posted: 25 Oct 2021
Rui Zhou and Daniel Palomar
Hong Kong University of Science and Technology - School of Engineering and Hong Kong University of Science and Technology (HKUST)
Downloads 81 (568,323)

Abstract:

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1/N portfolio, quintile portfolio, robust portfolio design, robust 1-norm optimization, inverse-volatility portfolio

6.

Orthogonal Sparse PCA and Covariance Estimation via Procrustes Reformulation

IEEE Transactions on Signal Processing, Volume: 64, Issue: 23, Dec.1, 2016
Number of pages: 16 Posted: 24 Jan 2018
Hong Kong University of Science & Technology (HKUST) - Department of Electronic and Computer Engineering, Hong Kong University of Science & Technology (HKUST), Hong Kong University of Science & Technology (HKUST) - Department of Electronic and Computer Engineering and Hong Kong University of Science and Technology (HKUST)
Downloads 42 (779,350)

Abstract:

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Sparse PCA, Procrustes, Stiefel Manifold, Minorization-Maximization, Covariance Estimation

7.

Solving High-Order Portfolios via Successive Convex Approximation Algorithms

IEEE Trans. on Signal Processing, vol. 69, pp. 892-904, Feb. 2021.
Number of pages: 13 Posted: 25 Oct 2021
Rui Zhou and Daniel Palomar
Hong Kong University of Science and Technology - School of Engineering and Hong Kong University of Science and Technology (HKUST)
Downloads 34 (840,463)

Abstract:

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High-order portfolios, skewness, kurtosis, efficient algorithm, successive convex approximation