<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1405-5546</journal-id>
<journal-title><![CDATA[Computación y Sistemas]]></journal-title>
<abbrev-journal-title><![CDATA[Comp. y Sist.]]></abbrev-journal-title>
<issn>1405-5546</issn>
<publisher>
<publisher-name><![CDATA[Instituto Politécnico Nacional, Centro de Investigación en Computación]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1405-55462018000401049</article-id>
<article-id pub-id-type="doi">10.13053/cys-22-4-3083</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Extraction of the Underlying Structure of Systematic Risk from Non-Gaussian Multivariate Financial Time Series Using Independent Component Analysis: Evidence from the Mexican Stock Exchange]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Ladrón de Guevara Cortés]]></surname>
<given-names><![CDATA[Rogelio]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Torra Porras]]></surname>
<given-names><![CDATA[Salvador]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Monte Moreno]]></surname>
<given-names><![CDATA[Enric]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Veracruzana University Institute for Research and Graduate Studies in Administrative Sciences ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,University of Barcelona Faculty of Economics and Business Department of Econometrics, Statistics and Applied Economy]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Spain</country>
</aff>
<aff id="Af3">
<institution><![CDATA[,Polytechnic University of Catalonia Barcelona School of Telecommunications Engineering Department of Signal Theory and Communications]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Spain</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2018</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2018</year>
</pub-date>
<volume>22</volume>
<numero>4</numero>
<fpage>1049</fpage>
<lpage>1064</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1405-55462018000401049&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1405-55462018000401049&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1405-55462018000401049&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract: Regarding the problems related to multivariate non-Gaussianity of financial time series, i.e., unreliable results in extraction of underlying risk factors -via Principal Component Analysis or Factor Analysis-, we use Independent Component Analysis (ICA) to estimate the pervasive risk factors that explain the returns on stocks in the Mexican Stock Exchange. The extracted systematic risk factors are considered within a statistical definition of the Arbitrage Pricing Theory (APT), which is tested by means of a two-stage econometric methodology. Using the extracted factors, we find evidence of a suitable estimation via ICA and some results in favor of the APT.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Extraction techniques]]></kwd>
<kwd lng="en"><![CDATA[underlying risk factors]]></kwd>
<kwd lng="en"><![CDATA[independent component analysis]]></kwd>
<kwd lng="en"><![CDATA[arbitrage pricing theory]]></kwd>
<kwd lng="en"><![CDATA[Mexican stock exchange]]></kwd>
</kwd-group>
</article-meta>
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