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IDEAL
2000
Springer

Applying Independent Component Analysis to Factor Model in Finance

11 years 3 months ago
Applying Independent Component Analysis to Factor Model in Finance
Factor model is a very useful and popular model in finance. In this paper, we show the relation between factor model and blind source separation, and we propose to use Independent Component Analysis (ICA) as a data mining tool to construct the underlying factors and hence obtain the corresponding sensitivities for the factor model.
Siu-Ming Cha, Lai-Wan Chan
Added 25 Aug 2010
Updated 25 Aug 2010
Type Conference
Year 2000
Where IDEAL
Authors Siu-Ming Cha, Lai-Wan Chan
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