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Number of statistical independent factors in arbitrage pricing theory from the perspective of non-Gaussian factor analysis

机译:非高斯因子分析视角下套利定价理论统计独立因素的数量

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A recently developed factor analytic technique, Non-Claussian Factor Analysis (NFA) is found to be well-suited for the analysis of classical Arbitrage Pricing Theory (APT). In particular, the model selection ability of NFA is of substantial benefit to the critical task of factor number determination in traditional APT analysis. In this paper, we aims to demonstrate how a reasonable number of independent factors in APT could be determined by applying the NFA technique. Experimental comparisons with the other two conventional methods are illustrated to confirm the superiority of this new approach.
机译:最近开发的因子分析技术,非克劳斯因子分析(NFA)被发现非常适合分析经典套利定价理论(APT)。特别地,NFA的模型选择能力对传统APT分析中因子数测定的关键任务具有重要益处。在本文中,我们的目的是通过应用NFA技术来确定如何确定APT中合理数量的独立因素。说明了与另外两个传统方法的实验比较,以确认这种新方法的优越性。

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