{"id":"https://openalex.org/W2534909459","doi":"https://doi.org/10.1109/globalsip.2013.6737103","title":"Beyond PCA for modeling financial time-series","display_name":"Beyond PCA for modeling financial time-series","publication_year":2013,"publication_date":"2013-12-01","ids":{"openalex":"https://openalex.org/W2534909459","doi":"https://doi.org/10.1109/globalsip.2013.6737103","mag":"2534909459"},"language":"en","primary_location":{"id":"doi:10.1109/globalsip.2013.6737103","is_oa":false,"landing_page_url":"https://doi.org/10.1109/globalsip.2013.6737103","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2013 IEEE Global Conference on Signal and Information Processing","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5026795227","display_name":"Dmitry Malioutov","orcid":"https://orcid.org/0000-0002-5541-7044"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Dmitry Malioutov","raw_affiliation_strings":["Business Analytics Mathematical Sciences, T.J. Watson IBM Research center, Yorktown Heights, NY, USA"],"affiliations":[{"raw_affiliation_string":"Business Analytics Mathematical Sciences, T.J. Watson IBM Research center, Yorktown Heights, NY, USA","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5026795227"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.23592814,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"2","issue":null,"first_page":"1140","last_page":"1140"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11871","display_name":"Advanced Statistical Methods and Models","score":0.9945999979972839,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T11871","display_name":"Advanced Statistical Methods and Models","score":0.9945999979972839,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9936000108718872,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T13487","display_name":"Statistical and numerical algorithms","score":0.9884999990463257,"subfield":{"id":"https://openalex.org/subfields/2604","display_name":"Applied Mathematics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cvar","display_name":"CVAR","score":0.9652493000030518},{"id":"https://openalex.org/keywords/principal-component-analysis","display_name":"Principal component analysis","score":0.7988555431365967},{"id":"https://openalex.org/keywords/curse-of-dimensionality","display_name":"Curse of dimensionality","score":0.6511911153793335},{"id":"https://openalex.org/keywords/metric","display_name":"Metric (unit)","score":0.610668420791626},{"id":"https://openalex.org/keywords/sparse-pca","display_name":"Sparse PCA","score":0.5925931334495544},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.5206848382949829},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.5079372525215149},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.48167741298675537},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.47492843866348267},{"id":"https://openalex.org/keywords/factor-analysis","display_name":"Factor analysis","score":0.45290854573249817},{"id":"https://openalex.org/keywords/dimensionality-reduction","display_name":"Dimensionality reduction","score":0.4516828954219818},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.35873910784721375},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.33527156710624695},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.32817965745925903},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.29899048805236816},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.14845335483551025}],"concepts":[{"id":"https://openalex.org/C2779922397","wikidata":"https://www.wikidata.org/wiki/Q5014755","display_name":"CVAR","level":4,"score":0.9652493000030518},{"id":"https://openalex.org/C27438332","wikidata":"https://www.wikidata.org/wiki/Q2873","display_name":"Principal component analysis","level":2,"score":0.7988555431365967},{"id":"https://openalex.org/C111030470","wikidata":"https://www.wikidata.org/wiki/Q1430460","display_name":"Curse of dimensionality","level":2,"score":0.6511911153793335},{"id":"https://openalex.org/C176217482","wikidata":"https://www.wikidata.org/wiki/Q860554","display_name":"Metric (unit)","level":2,"score":0.610668420791626},{"id":"https://openalex.org/C24252448","wikidata":"https://www.wikidata.org/wiki/Q7573786","display_name":"Sparse PCA","level":3,"score":0.5925931334495544},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.5206848382949829},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.5079372525215149},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.48167741298675537},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.47492843866348267},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.45290854573249817},{"id":"https://openalex.org/C70518039","wikidata":"https://www.wikidata.org/wiki/Q16000077","display_name":"Dimensionality reduction","level":2,"score":0.4516828954219818},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.35873910784721375},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.33527156710624695},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.32817965745925903},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.29899048805236816},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.14845335483551025},{"id":"https://openalex.org/C21547014","wikidata":"https://www.wikidata.org/wiki/Q1423657","display_name":"Operations management","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/globalsip.2013.6737103","is_oa":false,"landing_page_url":"https://doi.org/10.1109/globalsip.2013.6737103","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2013 IEEE Global Conference on Signal and Information Processing","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":5,"referenced_works":["https://openalex.org/W1647779468","https://openalex.org/W2018341990","https://openalex.org/W2129887565","https://openalex.org/W3103526270","https://openalex.org/W6679329737"],"related_works":["https://openalex.org/W4316167276","https://openalex.org/W2002736235","https://openalex.org/W2232143283","https://openalex.org/W1647779468","https://openalex.org/W1106997938","https://openalex.org/W2783733712","https://openalex.org/W2594064876","https://openalex.org/W2374661407","https://openalex.org/W2031780815","https://openalex.org/W2047632359"],"abstract_inverted_index":{"Statistical":[0],"factor":[1],"models":[2],"based":[3],"on":[4,127],"principal":[5,50],"component":[6],"analysis":[7],"(PCA)":[8],"have":[9],"been":[10],"widely":[11],"used":[12],"to":[13,26,39,42,59,69,92],"reduce":[14],"the":[15,22,62,65,89,94],"dimensionality":[16],"of":[17,24,28,49,80,109],"financial":[18,29],"time-series.":[19],"We":[20,44,67,113],"investigate":[21,45],"sensitivity":[23],"PCA":[25,75,81,121],"peculiarities":[27],"data,":[30],"such":[31],"as":[32,52,88,105],"heavy":[33],"tails":[34],"and":[35,37,76,122,124],"asymmetry":[36],"suggest":[38,68],"use":[40,70],"alternatives":[41],"PCA.":[43],"a":[46,53,71,78,106,115],"recent":[47],"reformulation":[48],"components":[51],"search":[54],"for":[55,74,118],"projections":[56],"which":[57],"allows":[58],"go":[60],"beyond":[61],"squared-error":[63],"in":[64,102],"objective.":[66],"robust":[72,120],"formulation":[73,117],"also":[77],"version":[79],"with":[82,131],"conditional":[83],"value":[84],"at":[85,111],"risk":[86,103],"(cVaR)":[87],"error":[90],"metric":[91],"drive":[93],"low-rank":[95],"approximation.":[96],"cVaR":[97],"has":[98],"received":[99],"considerable":[100],"attention":[101],"management":[104],"coherent":[107],"replacement":[108],"Value":[110],"Risk.":[112],"describe":[114],"convex":[116],"both":[119],"cVaR-PCA":[123],"apply":[125],"them":[126],"an":[128],"computational":[129],"example":[130],"US":[132],"equities.":[133]},"counts_by_year":[{"year":2018,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}