Jim Gunn

In 1952, Harry Markowitz, a Nobel Prize winning American economist, published his ground-breaking investment strategy “Portfolio Selection” article in the Journal of Finance. The article introduced a mathematic framework (including probability and statistics) for developing portfolios of symbols to maximize the expected return at an acceptable risk(loss). The methods, appropriately adapted, are signal processing algorithms, and are commonly referred to as Modern Portfolio Theory (MPT). The methods offer investors methods for (often optimized % allocation) portfolio diversification and have been widely used (and enhanced) in investing communities for years. Another popular investment strategy is momentum. The investment community observes that recent best performing symbols have significantly better probabilities for better future performance. Thus, momentum strategies invest in recent best performing symbols, rotating and re-allocating at appropriate times. Application of signal processing concepts and methodologies such as covariance, correlation, and stationarity can substantially improve momentum performance. Excel, C++, and C# code and charts will be used to demonstrate the above algorithm strategies in the presentation.

Biography:

Jim Gunn is a communications and signal processing (DSP) system engineer. He is a registered PE in the state of Texas. He has BS and MS degrees in Electrical Engineering from Oklahoma State University. He has a Ph.D. in electrical engineering from SMU, specializing in Statistical Communication and Control. He is a retired Army Reserve LT Col, serving his 2-year active-duty time assigned to NASA Flight Research Center at Edwards AFB, California. His DFW work includes DSP and communication related positions at E-Systems, Raytheon, TI, and National Semiconductor. He authored for Forward Concepts market and technology research reports on DSP in Wireless Infrastructure. He was retained by the Software Defined Radio (SDR) Forum to write 7 SDR research reports on key SDR market/technology topics. Market segments addressed included cellular, Public Safety, WiFi, and Telematics.

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