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Independent Component Analysis Filtration for Value at Risk Modelling

  • Ryszard Szupiluk
  • Piotr Wojewnik
  • Tomasz Ząbkowski
Part of the Lecture Notes in Computer Science book series (LNCS, volume 8131)

Abstract

In this article we present independent component analysis (ICA) applied to the concept of value at risk (VaR) modelling. The use of ICA decomposition enables to extract components with particular statistical properties that can be interpreted in economic terms. However, the characteristic of financial time series, in particular the nonstationarity in terms of higher order statistics, makes it difficult to apply ICA to VaR right away. This requires using adequate ICA algorithms or their modification taking into account the statistical characteristics of financial data.

Keywords

Value at Risk Independent Component Analysis financial time series analysis 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Ryszard Szupiluk
    • 1
  • Piotr Wojewnik
    • 1
  • Tomasz Ząbkowski
    • 2
  1. 1.Warsaw School of EconomicsWarsawPoland
  2. 2.Warsaw University of Life SciencesWarsawPoland

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