Exploratory analysis of financial time series using independent component analysis

Proceedings of the International Conference on Information Technology Interfaces, ITI

Volumn , Issue , 2005, Pages 169-174

  Mauro, Coli ^a   Riccardo, Di Nisio ^a   Luigi, Ippoliti ^a  

^a UNIVERSITY OF CHIETI   (Italy)

Author keywords

Blind Source Separation problems; Entropy; Independent Component Analysis; Multivariate Time Series; Principal Component Analysis

Indexed keywords

BLIND SOURCE SEPARATION; ENTROPY; INDEPENDENT COMPONENT ANALYSIS; MULTIVARIABLE CONTROL SYSTEMS; PRINCIPAL COMPONENT ANALYSIS; TIME SERIES ANALYSIS;

DATA SET; FINANCIAL DATA; FINANCIAL TIME SERIES; STOCK PRICES;

FINANCIAL DATA PROCESSING;

EID: 33745251955     PISSN: 13301012     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ITI.2005.1491117     Document Type: Conference Paper

References (5)

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5. Back A.D., Weigend A.S. A first application of independent component analysis to extracting structure from stock returns. Int. Journal on Neural Systems 1998, 8(4):473-484