Compact Representations of Market Securities Using Smooth Component Extraction

DOI10.1007/978-3-540-74494-8_92MaRDI QIDQ3608628zbMATHOpenAlexFDO

Authors Hariton Korizis, Nikolaos Mitianoudis, A. G. Constantinides

Publication date 5 March 2009

Published in Independent Component Analysis and Signal Separation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-74494-8_92

zbMATH Keywords

financeindependent components analysisFastICAmarket securitiesSmoothICA

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Underdetermined Source Separation Using Mixtures of Warped Laplacians

Cited in

(1)

• Application of ICA and PCA to extracting structure from stock return

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