A First Application of Independent Component Analysis to Extracting Structure from Stock Returns
作者： Andrew D. Back , Andreas S. Weigend
DOI: 10.1142/S0129065797000458
关键词:
摘要: … the major changes in the stock prices), and (ii) frequent smaller fluctuations (contributing little to the overall level of the stocks). We show that the overall stock price can be reconstructed …
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