DocumentCode
1678100
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
Volume
3
fYear
2002
fDate
6/24/1905 12:00:00 AM
Firstpage
2243
Lastpage
2248
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Neural Networks, 2002. IJCNN '02. Proceedings of the 2002 International Joint Conference on
Conference_Location
Honolulu, HI
ISSN
1098-7576
Print_ISBN
0-7803-7278-6
Type
conf
DOI
10.1109/IJCNN.2002.1007490
Filename
1007490
Link To Document