Independent component analysis and immunization: An exploratory study

Fabio Bellini; Ernesto Salinelli

doi:10.1142/S0219024903002201

Independent component analysis and immunization: An exploratory study

Fabio Bellini
, Ernesto Salinelli

Department of Translational Medicine

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	721-738
Number of pages	18
Journal	International Journal of Theoretical and Applied Finance
Volume	6
Issue number	7
DOIs	https://doi.org/10.1142/S0219024903002201
Publication status	Published - Nov 2003

Keywords

ICA
Immunization
Mutual information
PCA
Term structure movements

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10.1142/S0219024903002201

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title = "Independent component analysis and immunization: An exploratory study",

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.",

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AU - Salinelli, Ernesto

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AB - 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.

KW - ICA

KW - Immunization

KW - Mutual information

KW - PCA

KW - Term structure movements

UR - https://www.scopus.com/pages/publications/0242425803

U2 - 10.1142/S0219024903002201

DO - 10.1142/S0219024903002201

M3 - Article

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EP - 738

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

IS - 7

ER -

Independent component analysis and immunization: An exploratory study

Abstract

Keywords

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