Independent Component Analysis and Immunization: An Exploratory Study

Fabio Bellini () and Ernesto Salinelli ()
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Fabio Bellini: Dipartimento di Metodi Quantitativi per l'Economia, Università di Milano Bicocca, Italy
Ernesto Salinelli: Dipartimento di Scienze Economiche e Metodi Quantitativi, Università del Piemonte Orientale, Italy

International Journal of Theoretical and Applied Finance (IJTAF), 2003, vol. 06, issue 07, 721-738

Abstract: In this work we apply Independent Component Analysis (ICA) to the identification of the factors driving spot rates curve movements. A comparison between the standard Principal Components Analysis (PCA) approach and ICA is carried out both from a theoretical point of view, critically analyzing the negentropy based approach to ICA, and from an empirical point of view, where the performance of immunization strategies based on PCA and ICA are tested.

Keywords: ICA; PCA; mutual information; term structure movements; immunization (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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DOI: 10.1142/S0219024903002201

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