Conference item
Hidden Markov independent component analysis as a measure of coupling in multivariate financial time series
- Abstract:
-
Modelling the dynamics of financial markets has been an area of active research in recent years. This paper presents a time series analysis model which can be used to infer patterns within financial data, in order to better understand the dynamics of financial markets. The focus of the paper is on finding causal and time-scale relationships between financial time series. Wavelets are used to extract useful time-scale information from financial data at different frequencies and mutual informat...
Expand abstract
- Publication status:
- Accepted
- Peer review status:
- Peer reviewed
Actions
Authors
Bibliographic Details
- Publication date:
- 2008-09-26
- Acceptance date:
- 2008-07-24
- Event title:
- ICA Research Network International Workshop (ICArn 2008)
- Event location:
- Liverpool, UK
- Event website:
- http://www.eecs.qmul.ac.uk/legacy/icarn/events/icarnw08/index.html
- Event start date:
- 2008-09-25
- Event end date:
- 2008-09-26
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
319042
- Local pid:
- pubs:319042
- Deposit date:
- 2023-01-20
Related Items
Terms of use
- Copyright holder:
- Shah and Roberts
- Copyright date:
- 2008
- Rights statement:
- © Shah and Roberts 2008.
Metrics
If you are the owner of this record, you can report an update to it here: Report update to this record