Independent Component Analysis - Chapter 24: Other Applications

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Independent Component Analysis - Chapter 24: Other Applications

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It is tempting to try ICA on financial data. There are many situations in which parallel financial time series are available, such as currency exchange rates or daily returns of stocks, that may have some common underlying factors. ICA might reveal some driving mechanisms that otherwise remain hidden. In a study of a stock portfolio [22], it was found that ICA is a complementary tool to principal component analysis (PCA), allowing the underlying structure of the data to be more readily observed....

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