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Independent Component Analysis and Immunization: An Exploratory Study

Author

Listed:
  • 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)

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.

Suggested Citation

  • Fabio Bellini & Ernesto Salinelli, 2003. "Independent Component Analysis and Immunization: An Exploratory Study," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(07), pages 721-738.
    • Handle: RePEc:wsi:ijtafx:v:06:y:2003:i:07:n:s0219024903002201
    DOI: 10.1142/S0219024903002201
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    References listed on IDEAS

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    1. Thierry Vessereau, 2000. "Factor Analysis and Independent Component Analysis in Presence of High Idiosyncratic Risks," CIRANO Working Papers 2000s-46, CIRANO.
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    Cited by:

    1. Rogelio Ladrón de Guevara Cortés & Salvador Torra Porras & Enric Monte Moreno, 2021. "Statistical and computational techniques for extraction of underlying systematic risk factors: a comparative study in the Mexican Stock Exchange," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(2), pages 513-543, August.
    2. Edit Rroji & Lorenzo Mercuri, 2015. "Mixed tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1559-1569, September.

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