SEPARACJA FINANSOWYCH SZEREGÓW CZASOWYCH Z WYKORZYSTANIEM DEKORELACJI Z OPÓŹNIENIAMI
SEPARATION OF FINANCIAL TIME SERIES 18 USING THE DECORELATION WITH DELAYS
Author(s): Ryszard Szupiluk, Paweł RubachSubject(s): Methodology and research technology, Financial Markets, Socio-Economic Research
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: separation of financial time-series; decorelation with delays; SOBI; AMUSE;
Summary/Abstract: In this paper, we present the separation of financial time series using algorithms based on the decoralation procedure. The SOBI and AMUSE algorithms are used, tested and compared on real stock market data. We also present a discussion of theoretical and methodological issues related to the application of separation algorithms. The study is carried out using the WIG20 and SP500 stock indices.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XX/2019
- Issue No: 4
- Page Range: 305-315
- Page Count: 11
- Language: Polish