TY - GEN
T1 - The reconstruction of financial signals using fast ICA for systemic risk
AU - Chen, Kuan Heng
AU - Khashanah, Khaldoun
N1 - Publisher Copyright:
© 2015 IEEE.
PY - 2015
Y1 - 2015
N2 - Independent component analysis (ICA) is a statistical method for transforming multidimensional observed signals into components, which are statistically independent from each other, which is a case of redundancy reduction. In this paper, we implement Fast ICA proposed by Hyvarinen and Oja to investigate the relationship between systemic risk and ICA in the US financial market. We propose a systemic risk indicator based on observing the redundancy level of signals in running 10 variables including 10 S&P 500 sector indices. We find that not only the redundancy level of signals becomes larger during a crisis than during a normal period, but also the financial system becomes more vulnerable when the redundancy level grows up.
AB - Independent component analysis (ICA) is a statistical method for transforming multidimensional observed signals into components, which are statistically independent from each other, which is a case of redundancy reduction. In this paper, we implement Fast ICA proposed by Hyvarinen and Oja to investigate the relationship between systemic risk and ICA in the US financial market. We propose a systemic risk indicator based on observing the redundancy level of signals in running 10 variables including 10 S&P 500 sector indices. We find that not only the redundancy level of signals becomes larger during a crisis than during a normal period, but also the financial system becomes more vulnerable when the redundancy level grows up.
UR - http://www.scopus.com/inward/record.url?scp=84964963292&partnerID=8YFLogxK
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U2 - 10.1109/SSCI.2015.130
DO - 10.1109/SSCI.2015.130
M3 - Conference contribution
AN - SCOPUS:84964963292
T3 - Proceedings - 2015 IEEE Symposium Series on Computational Intelligence, SSCI 2015
SP - 885
EP - 889
BT - Proceedings - 2015 IEEE Symposium Series on Computational Intelligence, SSCI 2015
T2 - IEEE Symposium Series on Computational Intelligence, SSCI 2015
Y2 - 8 December 2015 through 10 December 2015
ER -