All Questions
4 questions
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Interpretation of PCA for commodity futures
I've done some PCA analysis of a portfolio consisting of futures on certain commodities. However, I am unsure of how to interpret the output as most of the information found online deals with fixed ...
- 1,641
1
vote
1
answer
2k
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Calculating PCA hedge ratio for 3-leg spread
I'm wondering how can I find PCA hedge ratio for a 3-leg spread? I've taken the simple steps laid out in here.
I've taken some treasury futures data for 2yr,5yr,10yr and ran the PCA. The first ...
- 5,971
0
votes
1
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179
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Inferring signals in absence of sign of principal components (PCA)?
PCA seems to be very popular in dimension reduction applications and for extracting the top PCs which explain the data. One such application in futures is on the term structure to obtain the level, ...
- 13.8k
4
votes
0
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132
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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 ...
- 141