Functional Principal Components Analysis of Shanghai Stock Exchange 50 Index

Joint Authors

Wang, Zhiliang
Sun, Yalin
Li, Peng

Source

Discrete Dynamics in Nature and Society

Issue

Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.

Publisher

Hindawi Publishing Corporation

Publication Date

2014-07-22

Country of Publication

Egypt

No. of Pages

7

Main Subjects

Mathematics

Abstract EN

The main purpose of this paper is to explore the principle components of Shanghai stock exchange 50 index by means of functional principal component analysis (FPCA).

Functional data analysis (FDA) deals with random variables (or process) with realizations in the smooth functional space.

One of the most popular FDA techniques is functional principal component analysis, which was introduced for the statistical analysis of a set of financial time series from an explorative point of view.

FPCA is the functional analogue of the well-known dimension reduction technique in the multivariate statistical analysis, searching for linear transformations of the random vector with the maximal variance.

In this paper, we studied the monthly return volatility of Shanghai stock exchange 50 index (SSE50).

Using FPCA to reduce dimension to a finite level, we extracted the most significant components of the data and some relevant statistical features of such related datasets.

The calculated results show that regarding the samples as random functions is rational.

Compared with the ordinary principle component analysis, FPCA can solve the problem of different dimensions in the samples.

And FPCA is a convenient approach to extract the main variance factors.

American Psychological Association (APA)

Wang, Zhiliang& Sun, Yalin& Li, Peng. 2014. Functional Principal Components Analysis of Shanghai Stock Exchange 50 Index. Discrete Dynamics in Nature and Society،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-466229

Modern Language Association (MLA)

Wang, Zhiliang…[et al.]. Functional Principal Components Analysis of Shanghai Stock Exchange 50 Index. Discrete Dynamics in Nature and Society No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-466229

American Medical Association (AMA)

Wang, Zhiliang& Sun, Yalin& Li, Peng. Functional Principal Components Analysis of Shanghai Stock Exchange 50 Index. Discrete Dynamics in Nature and Society. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-466229

Data Type

Journal Articles

Language

English

Notes

Includes bibliographical references

Record ID

BIM-466229