What drives stock returns?-an independent component analysis.
Andrew D. BackAndreas S. WeigendPublished in: CIFEr (1998)
Keyphrases
- independent component analysis
- stock returns
- stock market
- cross sectional
- developed countries
- principal component analysis
- independent components
- stock price
- factor analysis
- financial time series
- signal processing
- stock data
- developing countries
- blind source separation
- financial markets
- cash flow
- independent subspace analysis
- training data
- neural network
- short term
- source separation
- multiresolution
- feature space
- multiscale