Financial Data Analysis Using The Informational Energy Unilateral Dependency Measure
Department or Administrative Unit
Our research area is the unilateral dependency (UD) analysis of non-linear relationships within pairs of simultaneous data. The application is in financial analysis, using the data reported by Kodak and Apple for the period of 1999-2014. We compute and analyze the UD between Kodak's and Apple's financial time series in order to understand how they influence each other over their company assets and liabilities. We also analyze within each of the two companies the UD between assets and liabilities. Our formal approach is based on the informational energy UD measure derived by us in previous work. This measure is estimated here from available sample data, using a non-parametric asymptotically unbiased and consistent kNN estimator.
Cataron, A., Andonie, R., & Chueh, Y. (2015). Financial data analysis using the informational energy unilateral dependency measure. 2015 International Joint Conference on Neural Networks (IJCNN). https://doi.org/10.1109/ijcnn.2015.7280734
2015 International Joint Conference on Neural Networks (IJCNN)
Copyright © 2015, IEEE
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