16 citations · 39 across the 12 of their papers we have counts for
5 papers · 1 filter
Application of Kähler manifold to signal processing and Bayesian inference
Jaehyung Choi, Andrew P. Mullhaupt
We review the information geometry of linear systems and its application to Bayesian inference, and the simplification available in the Kähler manifold case. We find conditions for…
Geometric shrinkage priors for Kählerian signal filters
Jaehyung Choi, Andrew P. Mullhaupt
We construct geometric shrinkage priors for Kählerian signal filters. Based on the characteristics of Kähler manifolds, an efficient and robust algorithm for finding superharmonic…
Kählerian information geometry for signal processing
Jaehyung Choi, Andrew P. Mullhaupt
We prove the correspondence between the information geometry of a signal filter and a Kähler manifold. The information geometry of a minimum-phase linear system with a finite compl…
Maximum drawdown, recovery, and momentum
Jaehyung Choi
We empirically test predictability on asset price by using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum…
Reward-risk momentum strategies using classical tempered stable distribution
Jaehyung Choi, Young Shin Kim, Ivan Mitov
We implement momentum strategies using reward-risk measures as ranking criteria based on classical tempered stable distribution. Performances and risk characteristics for the alter…