Price is the most visible signal produced by competition and interaction among a complex ecology of entities in a system called financial markets. This thesis deals with statistical analysis and model identification based on such signals. We approach this problem at various levels of...

There have long been intuitive connections between robustness and regularization in statistical estimation, for example, in lasso and support vector machines. In the first part of the thesis, we formalize these connections using robust optimization. Specifically (a) We show that in classical...