The pca tag has no wiki summary.
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2answers
256 views
How to use PCA for trading
Can anyone give me a few pointers of how to approach using PCA for trading? In particular, it seems to me, PCA is useful for selecting a subset of a portfolio of stocks(or other) rather than trading ...
2
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0answers
86 views
How replicate data using PCA
I have a set of date covering petrol prices.
My example has two columns where each row represents a sequential date.
...
3
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0answers
103 views
PCA Variances and Principal Portfolio Variances
In Meucci's paper called "Managing Diversification" he mentions that:
"Indeed, the eigenvalues A correspond to the variances of these uncorrelated portfolios"
I tried to replicate it but found they ...
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2answers
142 views
Interpretation of PCs
I have computed PC1 and PC2 wts on future contracts derived from cumulative log differences. How can I use them to get back the theoretical price of each contract using those 2 pcs? Thanks in ...
3
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2answers
176 views
Why use market capitalization weighted index over PCA?
Why is it so popular to use market capitalization weighted indices instead of taking the first principle component that explains the most variation of the constituents? I haven't yet seen an academic ...
3
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0answers
81 views
Estimating two normal random numbers with one equation
Subtitle: Estimating the correlation of the shocks driving two commodities in
two multi-factor models
I am fitting two 2-factor models to electricity and gas futures, respectively.
In order to ...
6
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3answers
771 views
Time series of PCA - Sign change in factor loadings
I have a time series of data that is 300 days long. I compute PCA factor loadings on a moving window of 30 days. There are 7 stocks in the universe. Thus factors F1 through F7 are calculated on each ...
4
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2answers
381 views
How to make the final Interpretation of PCA?
I have question regarding final loading of data back to original variables.
So for example:
I have 10 variable from a,b,c....j using returns for last 300 days i got return matrix of 300 X 10.
...
8
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1answer
388 views
Meta-view of different time-series similarity measures?
While I spend most of my StackExchange time on MathematicaSE, I'm in the business and follow the questions and answers on this site with great interest.
Recently questions like the following (and ...
7
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1answer
995 views
Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
Let's say that I have a universe of stocks from a certain sector. I want to compute the market portfolio of this sector. Beta is the covariance between each stock and the market. But how do you ...
8
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2answers
2k views
Equity Risk Model Using PCA
I'm trying to build a simple risk model for stocks using PCA. I've noticed that when my dimensions are larger than the number of observations (for example 1000 stocks but only 250 days of returns), ...
6
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2answers
1k views
Cluster analysis vs PCA for risk models?
I built risk models using cluster analysis in a previous life. Years ago I learned about principal component analysis and I've often wondered whether that would have been more appropriate. What are ...
