A SPECTRAL DECOMPOSITION APPROACH TO SEPARATING INDEPENDENT FACTORS: THE CASE OF FOREIGN EXCHANGE RATES

Sorin-Manuel Delureanu Ph. D Student
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Sorin-Manuel Delureanu Ph. D Student: University of Craiova, Faculty of Economy and Business Administration, Romania

Revista Tinerilor Economisti (The Young Economists Journal), 2015, vol. 1, issue 25, 117-126

Abstract: In this paper, Independent Component Analysis (ICA) is addressed for revealing fundamental factors behind 6 parallel series of foreign exchange rates. ICA is belonging to the blind source separation (BSS) area of research. Each measured signal is considered a mixture of several distinct underlying factors. Separating such fundamental causal factors is very important for multivariate financial time series analysis, in order to explain past co-movements and to predict future evolutions.

Keywords: blind source separation; independent component analysis; financial time series critical (search for similar items in EconPapers)
JEL-codes: C14 C22 C38 C53 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:aio:rteyej:v:1:y:2015:i:25:p:117-126

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