Extraction of the Underlying Structure of Systematic Risk from Non-Gaussian Multivariate Financial Time Series Using Independent Component Analysis: Evidence from the Mexican Stock Exchange

Authors

  • Rogelio Ladrón de Guevara Cortés Veracruzana University. Institute for Research and Graduate Studies in Administrative Sciences (IIESCA)
  • Salvador Torra Porras University of Barcelona. Faculty of Economics and Business. Department of Econometrics, Statistics and Applied Economy
  • Enric Monte Moreno Polytechnic University of Catalonia. Barcelona School of Telecommunications Engineering. Department of Signal Theory and Communications

DOI:

https://doi.org/10.13053/cys-22-4-3083

Keywords:

Extraction techniques, underlying risk factors, independent component analysis, arbitrage pricing theory, mexican stock exchange

Abstract

Regarding the problems related to multivariate non-gaussianity of financial time series, i.e., unreliable results in extraction of underlying risk factors -via Principal Component Analysis or Factor Analysis-, we use Independent Component Analysis (ICA) to estimate the pervasive risk factors that explain the returns on stocks in the Mexican Stock Exchange. The extracted systematic risk factors are considered within a statistical definition of the Arbitrage Pricing Theory (APT), which is tested by means of a two-stage econometric methodology. Using the extracted factors, we find evidence of a suitable estimation via ICA and some results in favor of the APT.

Downloads

Published

2018-12-30

Issue

Vol. 22 No. 4 (2018): Topic Trends in Computing Research (Guest Editors: A. Aguilar-Meléndez, E. Moya-Sánchez)

Section

Articles of the Thematic Issue

License 

Hereby I transfer exclusively to the Journal "Computación y 
Sistemas", published by the Computing Research Center (CIC-IPN),
the Copyright of the aforementioned paper. I also accept that these 
rights will not be transferred to any other publication, in any other 
format, language or other existing means of developing.
I certify that the paper has not been previously disclosed or simultaneo
usly submitted to any other publication, and that it does not contain 
material whose publication would violate the Copyright or other 
proprietary rights of any person, company or institution. I certify that 
I have the permission from the institution or company where I work or 
study to publish this work.
The representative author accepts the responsibility for the publication
of this paper on behalf of each and every one of the authors. 
This transfer is subject to the following conditions:
  • The authors retain all ownership rights (such as patent rights) of this work, except for the publishing rights transferred to the CIC, through this document.
  • Authors retain the right to publish the work in whole or in part in any book they are the authors or publishers. They can also make use of this work in conferences, courses, personal web pages, and so on.
  • Authors may include working as part of his thesis, for non-profit distribution only.