Independent component analysis P24

Other Applications In this chapter, we consider some further applications of independent component analysis (ICA), including analysis of financial time series and audio signal separation. 24.1 24.1.1 FINANCIAL APPLICATIONS Finding hidden factors in financial data 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...