21 research outputs found
A First Application of Independent Component Analysis to Extracting Structure from Stock Returns
This paper discusses the application of a modern signal processing technique known as independent
component analysis (ICA) or blind source separation to multivariate financial time series such as a
portfolio of stocks. The key idea of ICA is to linearly map the observed multivariate time series into a new
space of statistically independent components (ICs). This can be viewed as a factorization of the portfolio
since joint probabilities become simple products in the coordinate system of the ICs.
We apply ICA to three years of daily returns of the 28 largest Japanese stocks and compare the results with
those obtained using principal component analysis. The results indicate that the estimated ICs fall into two
categories, (i) infrequent but large shocks (responsible for the major changes in the stock prices), and (ii)
frequent smaller fluctuations (contributing little to the overall level of the stocks). We show that the overall
stock price can be reconstructed surprisingly well by using a small number of thresholded weighted ICs.
In contrast, when using shocks derived from principal components instead of independent components, the
reconstructed price is less similar to the original one. Independent component analysis is a potentially powerful
method of analyzing and understanding driving mechanisms in financial markets. There are further
promising applications to risk management since ICA focuses on higher-order statistics.Information Systems Working Papers Serie
A Constrained EM Algorithm for Independent Component Analysis
We introduce a novel way of performing independent component analysis using a constrained version of the expectation-maximization (EM) algorithm. The source distributions are modeled as D one-dimensional mixtures of gaussians. The observed data are modeled as linear mixtures of the sources with additive, isotropic noise. This generative model is fit to the data using constrained EM. The simpler “soft-switching” approach is introduced, which uses only one parameter to decide on the sub- or supergaussian nature of the sources. We explain how our approach relates to independent factor analysis
A First Application of Independent Component Analysis to Extracting Structure from Stock Returns
This paper discusses the application of a modern signal processing technique known as independent
component analysis (ICA) or blind source separation to multivariate financial time series such as a
portfolio of stocks. The key idea of ICA is to linearly map the observed multivariate time series into a new
space of statistically independent components (ICs). This can be viewed as a factorization of the portfolio
since joint probabilities become simple products in the coordinate system of the ICs.
We apply ICA to three years of daily returns of the 28 largest Japanese stocks and compare the results with
those obtained using principal component analysis. The results indicate that the estimated ICs fall into two
categories, (i) infrequent but large shocks (responsible for the major changes in the stock prices), and (ii)
frequent smaller fluctuations (contributing little to the overall level of the stocks). We show that the overall
stock price can be reconstructed surprisingly well by using a small number of thresholded weighted ICs.
In contrast, when using shocks derived from principal components instead of independent components, the
reconstructed price is less similar to the original one. Independent component analysis is a potentially powerful
method of analyzing and understanding driving mechanisms in financial markets. There are further
promising applications to risk management since ICA focuses on higher-order statistics.Information Systems Working Papers Serie
シナプスのダイナミクスと学習 : いかにして可塑性の生物学的メカニズムは、神経情報処理を可能とする効率的な学習則を実現するか。
学位の種別: 課程博士審査委員会委員 : (主査)東京大学客員教授 深井 朋樹, 東京大学教授 能瀬 聡直, 東京大学教授 岡田 真人, 東京大学准教授 久恒 辰博, 東京大学講師 牧野 泰才University of Tokyo(東京大学
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An Adaptive Strategy for Sensory Processing
Recognizing objects and detecting associations among them is essential for the survival of organisms. The ability to perform these tasks is derived from the representations of objects obtained through processing information along sensory pathways. Our current understanding of sensory processing is based on two sets of foundational theories – The Efficient Coding Hypothesis and hierarchical assembly of object representations. These theories suggest that sensory processing aims to identify independent features of the environment and progressively represent objects in terms of comprehensive combinations of these features. Separately, the two sets of theories have successfully explained the detection of associations and perceptual invariance, respectively; however, reconciling them together in one unified theory has remained challenging. Independent features are deemed essential for detecting association by the Efficient coding hypothesis, but to achieve consistency in representations, multiple comprehensive structures corresponding to the same object must be hierarchically assembled, ignoring independence among such structures.
Here we propose an alternative framework for sensory processing in which the system, instead of finding the truly independent components of the environment, aims to represent objects based on their most informative structures. Using theoretical arguments, we show that following such a strategy allows the system to efficiently represent sensory cues without necessarily acquiring knowledge about statistical properties of all possible inputs. Through mathematical simulations, we find that the framework can describe the known characteristics of early sensory processing stages and permits consistent input representations observed at later stages of processing. We also demonstrate that the framework can be implemented in a biologically plausible neuronal circuit and explain aspects of experience and learning from corrupted inputs. Thus, this framework provides a novel perspective and a unified description of sensory processing in its entirety
An extended exploratory projection pursuit network with linear and nonlinear anti-hebbian lateral connections applied to the cocktail party problem
We propose a novel nonlinear self-organising network, which employs hebbian and anti-hebbian learning, in approximating a linear independent component analysis. We use nonlinear activation functions, which can deal with mixtures of platykurtic or leptokurtic data distributions. The learning algorithms diagonalise the input data covariance matrix, then perform an orthogonal rotation which approximates maximisation of the sum of squares of fourth order marginal cumulants, thus providing separation of the input into the individual independent subcomponents. We apply this network to linear mixtures of natural speech data, which are inherently non-stationary and positively kurtotic. Simulations are run on linear mixtures of five speakers and rapid convergence and complete source separation is shown