Tag Archives: Principal component analysis

How to use Principal component analysis for financial within R

How to use Principal component analysis for financial within R
These two links will help you understand what PCA is within R
http://www.r-bloggers.com/principal-component-analysis-use-extended-to-financial-economics-part-1/
http://www.r-bloggers.com/principal-component-analysis-use-extended-to-financial-economics-part-2/

For part 1 to create data, use http://www.nseindia.com/content/indices/ind_cnx500.htm, click Daily Return values and select period. Download as a CSV to be named Returns_CNX_500.csv. It appears to load fine.  You will also need to create a matrix called return1 before executing the code.

For part 2, you need to download MIBOR.CSV from http://dl.dropbox.com/u/20480592/MIBOR.csv

Other than that, the code in part 2 does work!