Title :
A comparative study of Gaussian TFA learning and statistical tests on the factor number in APT
Author :
Chiu, Kai Chun ; Xu, Lei
Author_Institution :
Dept. of Comput. Sci., Chinese Univ. of Hong Kong, Shatin, China
fDate :
6/24/1905 12:00:00 AM
Abstract :
The temporal factor analysis (TFA) model is found to be useful for determining factor number k in classical financial arbitrage pricing theory (APT) analysis. In this paper, comparisons of factor number determination using different techniques will be shown. Results reveal that TFA is superior to MLFA as well as eigenvalue analysis
Keywords :
Gaussian processes; costing; securities trading; statistical analysis; APT; Gaussian TFA learning; arbitrage pricing theory analysis; factor number determination; securities trading; statistical tests; temporal factor analysis; Computer science; Covariance matrix; Economics; Eigenvalues and eigenfunctions; Finance; Integrated circuit modeling; Pricing; Security; Testing; White noise;
Conference_Titel :
Neural Networks, 2002. IJCNN '02. Proceedings of the 2002 International Joint Conference on
Conference_Location :
Honolulu, HI
Print_ISBN :
0-7803-7278-6
DOI :
10.1109/IJCNN.2002.1007490
