A Spectral Decomposition Approach to Separating Independent Factors: The Case of Foreign Exchange Rates
A Spectral Decomposition Approach to Separating Independent Factors: The Case of Foreign Exchange Rates
Author(s): Sorin-Manuel DelureanuSubject(s): Supranational / Global Economy, International relations/trade, Financial Markets
Published by: Editura Universitaria Craiova
Keywords: blind source separation; independent component analysis; financial time series critical;
Summary/Abstract: In this paper, Independent Component Analysis (ICA) is addressed for revealing fundamental factors behind 6 parallel series of foreign exchange rates. ICA is belonging to the blind source separation (BSS) area of research. Each measured signal is considered a mixture of several distinct underlying factors. Separating such fundamental causal factors is very important for multivariate financial time series analysis, in order to explain past co-movements and to predict future evolution.
Journal: Revista tinerilor economişti
- Issue Year: 2015
- Issue No: 25
- Page Range: 117-126
- Page Count: 10
- Language: English