Financial Signal Processing

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This course approaches financial engineering from a signal processing perspective. Stochastic processes: random walks, Brownian motion, Ito calculus, continuous models including Black-Scholes, discrete models including negative binomial, martingales, stopping times. Representation and analysis of financial concepts such as price, risk, volatility, futures, options, arbitrage, derivatives, portfolios and trading strategies. Analysis of single and multiple nonstationary time series, GARCH models. Optimization methods, big data and machine learning in finance.

Prerequisites: ECE 211, MA 224

Credits: 3.00

Course Code: ECE 478

  • Founded by inventor, industrialist and philanthropist Peter Cooper in 1859, The Cooper Union for the Advancement of Science and Art offers education in art, architecture and engineering, as well as courses in the humanities and social sciences.

  • “My feelings, my desires, my hopes, embrace humanity throughout the world,” Peter Cooper proclaimed in a speech in 1853. He looked forward to a time when, “knowledge shall cover the earth as waters cover the great deep.”

  • From its beginnings, Cooper Union was a unique institution, dedicated to founder Peter Cooper's proposition that education is the key not only to personal prosperity but to civic virtue and harmony.

  • Peter Cooper wanted his graduates to acquire the technical mastery and entrepreneurial skills, enrich their intellects and spark their creativity, and develop a sense of social justice that would translate into action.