by Zhi-Bin Lai. / Thesis submitted in: December 1998. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 111-116). / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- ICA Model --- p.1 / Chapter 1.2 --- ICA Algorithms --- p.3 / Chapter 1.3 --- Foreign Exchange Rate Scheme --- p.9 / Chapter 1.4 --- Problem Motivation --- p.10 / Chapter 1.5 --- Main Contribution of the Thesis --- p.10 / Chapter 1.6 --- Other Contribution of the Thesis --- p.11 / Chapter 1.7 --- Organization of the Thesis --- p.11 / Chapter 2 --- Heuristic Dominant ICs Sorting --- p.13 / Chapter 2.1 --- L1 Norm Sorting --- p.13 / Chapter 2.2 --- Lp Norm (L3 Norm) Sorting --- p.14 / Chapter 2.3 --- Problem Motivation --- p.15 / Chapter 2.4 --- Determination of Dominant ICs --- p.15 / Chapter 2.5 --- ICA in Foreign Exchange Rate Markets --- p.16 / Chapter 2.6 --- Comparison of Two Heuristic Methods --- p.16 / Chapter 2.6.1 --- Experiment 1: US Dollar vs Swiss Franc --- p.18 / Chapter 2.6.2 --- Experiment 2: US Dollar vs Australian Dollar --- p.21 / Chapter 2.6.3 --- Experiment 3: US Dollar vs Canadian Dollar --- p.24 / Chapter 2.6.4 --- Experiment 4: US Dollar vs French Franc --- p.27 / Chapter 3 --- Forward Selection under MSE Measurement --- p.30 / Chapter 3.1 --- Order-Sorting Criterion --- p.30 / Chapter 3.2 --- Order Sorting Approaches --- p.30 / Chapter 3.3 --- Forward Selection Approach --- p.31 / Chapter 3.4 --- Comparison of Three Dominant ICs Sorting Methods --- p.32 / Chapter 3.4.1 --- Experiment 1: US Dollar vs Swiss Franc --- p.33 / Chapter 3.4.2 --- Experiment 2: US Dollar vs Australian Dollar --- p.37 / Chapter 3.4.3 --- Experiment 3: US Dollar vs Canadian Dollar --- p.41 / Chapter 3.4.4 --- Experiment 4: US Dollar vs French Franc --- p.45 / Chapter 4 --- Backward Elimination Tendency Error --- p.49 / Chapter 4.1 --- Tendency Error Scheme --- p.49 / Chapter 4.2 --- Order-Sorting Criterion --- p.50 / Chapter 4.3 --- Order Sorting Approaches --- p.50 / Chapter 4.4 --- Backward Elimination Tendency Error Approach --- p.51 / Chapter 4.5 --- Determination of Dominant ICs --- p.52 / Chapter 4.6 --- Comparison Between Three Approaches --- p.53 / Chapter 4.6.1 --- Experiment Results on USD-SWF Return --- p.53 / Chapter 4.6.2 --- Experiment Results on USD-AUD Return --- p.57 / Chapter 4.6.3 --- Experiment Results on USD-CAD Return --- p.61 / Chapter 4.6.4 --- Experiment Results on USD-FRN Return --- p.65 / Chapter 5 --- Other Analysis of ICA in Foreign Exchange Rate Markets --- p.69 / Chapter 5.1 --- Variance Characteristics of ICs and PCs --- p.69 / Chapter 5.2 --- Reconstruction Ability between PCA and ICA --- p.70 / Chapter 5.3 --- Properties of Independent Components --- p.70 / Chapter 5.4 --- Autocorrelation --- p.73 / Chapter 5.5 --- Rescaled Analysis --- p.73 / Chapter 6 --- Conclusion and Further Work - --- p.78 / Chapter 6.1 --- Conclusion --- p.78 / Chapter 6.2 --- Further Work --- p.79 / Chapter A --- Fast Implement of LPM Algorithm --- p.80 / Chapter A.1 --- Review of Selecting Subsets from Regression Variables --- p.80 / Chapter A.2 --- Unconstrained Gradient Based Optimization Methods Survey --- p.85 / Chapter A.3 --- Characteristics of the Original LPM Algorithm --- p.88 / Chapter A.4 --- Constrained Learning Rate Adaptation Method --- p.89 / Chapter A.5 --- Gradient Descent with Momentum Method --- p.98
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_322420 |
| Date | January 1999 |
| Contributors | Lai, Zhi-Bin., Chinese University of Hong Kong Graduate School. Division of Computer Science and Engineering. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, xv, 116 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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