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We focus on the distinction between speculative and fundamental components of share-price movements and we contribute to the literature by evaluating four alternative methods of decomposing share-price movements into these two components.
In the appendix, we define the conformity as a maximizer of the factorizability function F A (v ) = 1 − ∑ i ∑ j ≠ i (a i j − v i v j ) 2 ∑ i ∑ j ≠ i (a i j ) 2. Alternative methods of decomposing an adjacency matrix are briefly discussed below.
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Empirical mode decomposition (EMD) is an effective method of decomposing non-stationary signals into a set of intrinsic mode functions (IMFs).
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Justyna Jupowicz-Kozak
CEO of Professional Science Editing for Scientists @ prosciediting.com