Who does this?is this empirical? Can it be applied to corvariance or on a correlate?are they dynamic? Are correlational matrices more stable? This may be an interesting go for research in optimizing matrix manipulation with these techniques.
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!Quant analytics: any one do Covariance matrix pca decomposition?
(Last Updated On: April 6, 2012)