相关论文: Application of Principal Component Analysis in Chi…

This paper mainly utilizes the ARDL model and principal component analysis to investigate the relationship between the volatility of China's Shanghai Composite Index returns and the variables of exchange rate and domestic and foreign bond…

We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations…

This paper presents an empirical analysis of the capital asset pricing model using trading data for the Chinese A-share market from 2000 to 2019. Firstly, the standard CAPM is tested using a Fama-MacBetch regression and although the results…

There are more than eight hundred interest rates published in China bond market every day. Which are the benchmark interest rates that have broad influences on most interest rates is a major concern for economists. In this paper,…

Principal component analysis (PCA) is a useful tool when trying to construct factor models from historical asset returns. For the implied volatilities of U.S. equities there is a PCA-based model with a principal eigenportfolio whose return…

Principal component analysis (PCA) is perhaps the most widely used method for data dimensionality reduction. A key question in PCA is deciding how many factors to retain. This manuscript describes a new approach to automatically selecting…

The literature provides strong evidence that stock prices can be predicted from past price data. Principal component analysis (PCA) is a widely used mathematical technique for dimensionality reduction and analysis of data by identifying a…

We introduce a class of copulas that we call Principal Component Copulas (PCCs). This class combines the strong points of copula-based techniques with principal component analysis (PCA), which results in flexibility when modelling tail…

Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of many kind of high-dimensional data. It is used in signal processing, mechanical engineering, psychometrics, and other fields under different…

With the development of high-throughput technologies, principal component analysis (PCA) in the high-dimensional regime is of great interest. Most of the existing theoretical and methodological results for high-dimensional PCA are based on…

Principal component analysis (PCA) is a widespread technique for data analysis that relies on the covariance-correlation matrix of the analyzed data. However to properly work with high-dimensional data, PCA poses severe mathematical…

Principal component analysis (PCA) is a most frequently used statistical tool in almost all branches of data science. However, like many other statistical tools, there is sometimes the risk of misuse or even abuse. In this paper, we…

Principal component analysis (PCA) is often used for analyzing data in the most diverse areas. In this work, we report an integrated approach to several theoretical and practical aspects of PCA. We start by providing, in an intuitive and…

Principal component analysis (PCA) is a widely used method for data processing, such as for dimension reduction and visualization. Standard PCA is known to be sensitive to outliers, and thus, various robust PCA methods have been proposed.…

The principal component analysis (PCA) is a staple statistical and unsupervised machine learning technique in finance. The application of PCA in a financial setting is associated with several technical difficulties, such as numerical…

The increasing integration of data science techniques into quantitative finance has enabled more systematic and data-driven approaches to portfolio construction. This paper investigates the use of Principal Component Analysis (PCA) in…

A general asymptotic framework is developed for studying consis- tency properties of principal component analysis (PCA). Our frame- work includes several previously studied domains of asymptotics as special cases and allows one to…

Principal Component Analysis (PCA) is the most common nonparametric method for estimating the volatility structure of Gaussian interest rate models. One major difficulty in the estimation of these models is the fact that forward rate curves…

Big data is transforming our world, revolutionizing operations and analytics everywhere, from financial engineering to biomedical sciences. The complexity of big data often makes dimension reduction techniques necessary before conducting…

We propose a multiple imputation method based on principal component analysis (PCA) to deal with incomplete continuous data. To reflect the uncertainty of the parameters from one imputation to the next, we use a Bayesian treatment of the…