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dc.contributor.authorLadrón de Guevara Cortés, Rogelio
dc.contributor.authorTorra Porras, Salvador
dc.contributor.authorMonte Moreno, Enrique
dc.contributor.otherUniversitat Politècnica de Catalunya. Departament de Teoria del Senyal i Comunicacions
dc.date.accessioned2019-09-18T16:24:15Z
dc.date.available2019-09-18T16:24:15Z
dc.date.issued2019-01-01
dc.identifier.citationLadrón de Guevara, R.; Torra Porras, S.; Monte, E. Neural networks principal component analysis for estimating the generative multifactor model of returns under a statistical approach to the arbitrage pricing theory: Evidence from the mexican stock exchange. "Computación y sistemas", 1 Gener 2019, vol. 23, núm. 2, p. 281-298.
dc.identifier.issn2007-9737
dc.identifier.urihttp://hdl.handle.net/2117/168380
dc.description.abstractA nonlinear principal component analysis (NLPCA) represents an extension of the standard principal component analysis (PCA) that overcomes the limitation of the PCA’s assumption about the linearity of the model. The NLPCA belongs to the family of nonlinear versions of dimension reduction or the extraction techniques of underlying features, including nonlinear factor analysis and nonlinear independent component analysis, where the principal components are generalized from straight lines to curves. The NLPCA can be achieved via an artificial neural network specification where the PCA classic model is generalized to a nonlinear mode, namely, Neural Networks Principal Component Analysis (NNPCA). In order to extract a set of nonlinear underlying systematic risk factors, we estimate the generative multifactor model of returns in a statistical version of the Arbitrage Pricing Theory (APT), in the context of the Mexican Stock Exchange. We used an auto-associative multilayer perceptron neural network or autoencoder, where the ‘bottleneck’ layer represented the nonlinear principal components, or in our context, the scores of the underlying factors of systematic risk. This neural network represents a powerful technique capable of performing a nonlinear transformation of the observed variables into the nonlinear principal components, and to execute a nonlinear mapping that reproduces the original variables. We propose a network architecture capable of generating a loading matrix that enables us to make a first approach to the interpretation of the extracted latent risk factors. In addition, we used a two stage methodology for the econometric contrast of the APT involving first, a simultaneous estimation of the system of equations via Seemingly Unrelated Regression (SUR), and secondly, a cross-section estimation via Ordinary Least Squared corrected by heteroskedasticity and autocorrelation by means of the Newey-West heteroskedasticity and autocorrelation consistent covariances estimates (HEC). The evidence found shows that the reproductions of the observed returns using the estimated components via NNPCA are suitable in almost all cases; nevertheless, the results in an econometric contrast lead us to a partial acceptance of the APT in the samples and periods studied.
dc.format.extent18 p.
dc.language.isoeng
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Spain
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subjectÀrees temàtiques de la UPC::Informàtica::Intel·ligència artificial
dc.subject.lcshNeural networks (Computer science)
dc.subject.otherExtraction of underlying risk factors
dc.subject.otherNonlinear principal component analysis
dc.subject.otherArbitrage pricing theory
dc.subject.otherMexican stock exchange
dc.titleNeural networks principal component analysis for estimating the generative multifactor model of returns under a statistical approach to the arbitrage pricing theory: Evidence from the mexican stock exchange
dc.typeArticle
dc.subject.lemacXarxes neuronals (Informàtica)
dc.contributor.groupUniversitat Politècnica de Catalunya. VEU - Grup de Tractament de la Parla
dc.identifier.doi10.13053/CyS-23-2-3193
dc.description.peerreviewedPeer Reviewed
dc.relation.publisherversionhttp://www.cys.cic.ipn.mx/ojs/index.php/CyS/article/view/3193
dc.rights.accessOpen Access
local.identifier.drac25815323
dc.description.versionPostprint (published version)
local.citation.authorLadrón de Guevara, R.; Torra Porras, Salvador; Monte, E.
local.citation.publicationNameComputación y sistemas
local.citation.volume23
local.citation.number2
local.citation.startingPage281
local.citation.endingPage298


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