Dynamically Measuring Statistical Dependencies in Multivariate Financial Time Series Using Independent Component Analysis

<table>Daily closing mid-prices (<svg height="15.4" id="M304" style="vertical-align:-3.3907pt" version="1.1" viewbox="0 0 15.6125 15.4" width="15.6125" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.112)"><path d="M619 482q0 -69 -40.5 -119t-96 -72.5t-118.5 -26.5h-44l-70 20l-31 -151q-14 -67 0.5 -83t89.5 -22l-5 -28h-287l8 28q65 7 81.5 22t29.5 83l79 398q12 56 0.5 70.5t-78.5 20.5l7 28h255q108 0 164 -43t56 -125zM524 478q0 141 -146 141q-25 0 -47 -8q-16 -6 -20.5 -13.5
t-10.5 -39.5l-43 -241q37 -13 83 -13q67 0 125.5 45t58.5 129z" id="x1D443"></path></g>
<g transform="matrix(.012,-0,0,-.012,10.875,15.187)"><path d="M324 430l-26 -36l-112 -4l-55 -265q-13 -66 7 -66q13 0 44.5 20t50.5 40l17 -24q-38 -40 -85.5 -73.5t-87.5 -33.5q-50 0 -21 138l55 262h-80l-2 8l25 34h66l25 99l78 63l10 -9l-37 -153h128z" id="x1D461"></path></g>
</svg>) of AUDUSD and USDJPY. The two plots are adjusted for ease of comparison. The vertical line corresponds to the September 2008 financial meltdown.</table>

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Figure 4

Figure 4: Dynamically Measuring Statistical Dependencies in Multivariate Financial Time Series Using Independent Component Analysis 