Further study of independent component analysis in foreign exchange rate markets.

by Zhi-Bin Lai.Thesis submitted in: December 1998.Thesis (M.Phil.)--Chinese University of Hong Kong, 1999.Includes bibliographical references (leaves 111-116).Chapter 1 --- Introduction --- p.1Chapter 1.1 --- ICA Model --- p.1Chapter 1.2 --- ICA Algorithms --- p.3Chapter 1.3 --- Foreign Exchange Rate Scheme --- p.9Chapter 1.4 --- Problem Motivation --- p.10Chapter 1.5 --- Main Contribution of the Thesis --- p.10Chapter 1.6 --- Other Contribution of the Thesis --- p.11Chapter 1.7 --- Organization of the Thesis --- p.11Chapter 2 --- Heuristic Dominant ICs Sorting --- p.13Chapter 2.1 --- L1 Norm Sorting --- p.13Chapter 2.2 --- Lp Norm (L3 Norm) Sorting --- p.14Chapter 2.3 --- Problem Motivation --- p.15Chapter 2.4 --- Determination of Dominant ICs --- p.15Chapter 2.5 --- ICA in Foreign Exchange Rate Markets --- p.16Chapter 2.6 --- Comparison of Two Heuristic Methods --- p.16Chapter 2.6.1 --- Experiment 1: US Dollar vs Swiss Franc --- p.18Chapter 2.6.2 --- Experiment 2: US Dollar vs Australian Dollar --- p.21Chapter 2.6.3 --- Experiment 3: US Dollar vs Canadian Dollar --- p.24Chapter 2.6.4 --- Experiment 4: US Dollar vs French Franc --- p.27Chapter 3 --- Forward Selection under MSE Measurement --- p.30Chapter 3.1 --- Order-Sorting Criterion --- p.30Chapter 3.2 --- Order Sorting Approaches --- p.30Chapter 3.3 --- Forward Selection Approach --- p.31Chapter 3.4 --- Comparison of Three Dominant ICs Sorting Methods --- p.32Chapter 3.4.1 --- Experiment 1: US Dollar vs Swiss Franc --- p.33Chapter 3.4.2 --- Experiment 2: US Dollar vs Australian Dollar --- p.37Chapter 3.4.3 --- Experiment 3: US Dollar vs Canadian Dollar --- p.41Chapter 3.4.4 --- Experiment 4: US Dollar vs French Franc --- p.45Chapter 4 --- Backward Elimination Tendency Error --- p.49Chapter 4.1 --- Tendency Error Scheme --- p.49Chapter 4.2 --- Order-Sorting Criterion --- p.50Chapter 4.3 --- Order Sorting Approaches --- p.50Chapter 4.4 --- Backward Elimination Tendency Error Approach --- p.51Chapter 4.5 --- Determination of Dominant ICs --- p.52Chapter 4.6 --- Comparison Between Three Approaches --- p.53Chapter 4.6.1 --- Experiment Results on USD-SWF Return --- p.53Chapter 4.6.2 --- Experiment Results on USD-AUD Return --- p.57Chapter 4.6.3 --- Experiment Results on USD-CAD Return --- p.61Chapter 4.6.4 --- Experiment Results on USD-FRN Return --- p.65Chapter 5 --- Other Analysis of ICA in Foreign Exchange Rate Markets --- p.69Chapter 5.1 --- Variance Characteristics of ICs and PCs --- p.69Chapter 5.2 --- Reconstruction Ability between PCA and ICA --- p.70Chapter 5.3 --- Properties of Independent Components --- p.70Chapter 5.4 --- Autocorrelation --- p.73Chapter 5.5 --- Rescaled Analysis --- p.73Chapter 6 --- Conclusion and Further Work - --- p.78Chapter 6.1 --- Conclusion --- p.78Chapter 6.2 --- Further Work --- p.79Chapter A --- Fast Implement of LPM Algorithm --- p.80Chapter A.1 --- Review of Selecting Subsets from Regression Variables --- p.80Chapter A.2 --- Unconstrained Gradient Based Optimization Methods Survey --- p.85Chapter A.3 --- Characteristics of the Original LPM Algorithm --- p.88Chapter A.4 --- Constrained Learning Rate Adaptation Method --- p.89Chapter A.5 --- Gradient Descent with Momentum Method --- p.9