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Applying independent component analysis to factor model in finance

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (2000) 1983 538-544
DOI: 10.1007/3-540-44491-2_78
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Abstract

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.

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Cha, S. M., & Chan, L. W. (2000). Applying independent component analysis to factor model in finance. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 1983, pp. 538–544). Springer Verlag. https://doi.org/10.1007/3-540-44491-2_78

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