摘要
独立成分分析已经成功的在股票等金融方面得到应用，并被证明能对金融市场的驱动机制和股价波动的潜在因素进行挖掘，近年来一直受到国内外专家学者的广泛重视．从信息论和最优化的角度系统地介绍了独立成分分析算法，并结合国际外汇市场，用独立成分分析法对几种即期汇率进行了相应的分析，最后简要地探讨了独立成分分析应用到外汇市场中的优势及下一步研究方向．
Independent component analysis has been successfully applied in the financial data, such as the stock market, and it is improved that the latent factor of the driving institution of the financial market and fluctuation of share price can be mined by independent component analysis. From the point of theory of information and optimization, the independent component analysis is introduced in a summary. Furthermore, in virtue of independent component analysis, some exchange rates in the international foreign exchange market are analyzed. In the end of this paper, the advantage and further research of the application in exchange market with independent component analysis are simply discussed.
出处
《哈尔滨工程大学学报》
EI
CAS
CSCD
北大核心
2006年第B07期601-606,共6页
Journal of Harbin Engineering University
基金
厦门大学985二期资助项目.
关键词
信息论
独立成分分析
外汇市场
汇率
entropy
independent component analysis
foreign exchange market
exchange rate
