All Questions
Tagged with pca statistical-finance
4 questions
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PCA on levels or returns, and standardized or not?
When you run PCA on some financial assets, let’s say stocks, do you calculate covariance on levels, standardized levels, returns or standardized returns?
I’ve seen several papers and posts that ...
- 13
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How to extract informative value from correlations of assets? Subadditivity of correlation calculation an issue
I was reading Nassim Taleb's Paper: Fooled by Correlation and found it very informative. I had always struggled with finding value in correlation in Finance, especially seeing a lot of bad ...
- 73
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INTERPRETING PCA ANALYSIS
I am having little trouble figuring our which variables are the most important when I am using PCA .
What I am trying to do is see which variables explain the most variance when it comes to stock ...
- 339
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PCA FOR STOCK PICKING
lets say I am an equity analyst and I want to figure out what fundamental metrics I should use when I am analyzing an industry , I can use pca on a bunch of stocks in an industry using their ...
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