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
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