Nonstationary Daily Healthcare Stock Market Price using Non-Transformed Dimensionality Reduction Technique

  • Yusrina Andu College of Computing, Informatics and Media, Universiti Teknologi MARA Cawangan Negeri Sembilan, 72000 Kuala Pilah, Negeri Sembilan, Malaysia
  • Muhammad Hisyam Lee Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia, 81310 Johor Bahru, Malaysia
  • Zakariya Yahya Algamal Department of Statistics and Informatics, College of Computer Science and Mathematics, Universiti of Mosul, Mosul, Iraq

Abstract

Healthcare stock market price is usually nonstationary. General practice of handling nonstationary stock market price is through transformation process, which may cause loss of data originality. To overcome this, an alternative way of direct handling of the stock market price is of interest. The dimensionality reduction of nonstationary stock market price was performed by using generalized dynamic principal component (GDPC), adapting Brillinger dynamic principal component (BDPC) concept based on the reconstruction of the stock market price. Daily observations of healthcare stock market price were considered for this study. Stationarity test was carried out and the analysis were two-based, transformed and non-transformed. Then, three principal component methods were used to reduce the dimensionality. The results shows that GDPC have a higher percentage of explained variance percentage (above 90%) and lower mean squared error among the other methods. Thus, this shows that a direct application may also achieved better result performance.

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Published
2022-12-20
How to Cite
ANDU, Yusrina; LEE, Muhammad Hisyam; ALGAMAL, Zakariya Yahya. Nonstationary Daily Healthcare Stock Market Price using Non-Transformed Dimensionality Reduction Technique. Menemui Matematik (Discovering Mathematics), [S.l.], v. 44, n. 2, p. 78-85, dec. 2022. ISSN 0126-9003. Available at: <https://myjms.mohe.gov.my/index.php/dismath/article/view/20689>. Date accessed: 22 sep. 2023.
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Vol 44 No 2 (2022): Menemui Matematik(Discovering Mathematics)
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