Many examples of PCA uses in finance with Matlab source code

(Last Updated On: April 16, 2014)

 

Many examples of PCA uses in finance with Matlab source code. There are some examples use with Value at Risk applications.

Lots of examples here:

http://quant.stackexchange.com/questions/1020/equity-risk-model-using-pca <– See the answer by vonjd

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1358533 <– Meucci paper with example code at http://www.mathworks.com/matlabcentral/fileexchange/23271 also focus on portfolio

http://www.cs.princeton.edu/picasso/mats/PCA-Tutorial-Intuition_jp.pdf <– uses toy example so not useful

http://stackoverflow.com/questions/21242542/principal-components-calculated-using-different-functions-in-matlab <– good example how to use princomp

http://www.docstoc.com/docs/20298522/MATLAB-CODE-FOR-PCA <– little example with no explanation

http://www.mathfinance.cn/category/matlab/1/3/ –> Suggested another PCA framework at

http://www.nlpca.org/matlab.html –> this is an non linear PCA framework

http://books.google.ca/books?id=AxvgfuSedRAC&pg=PA302&lpg=PA302&dq=matlab+pca+finance&source=bl&ots=b_k8uf-abe&sig=8svs1dUkKvRhJf1y4Rbm_TpLBPw&hl=en&sa=X&ei=lqdOU8zVC4Si2AWMwIDABA&ved=0CEoQ6AEwAzgK#v=onepage&q=matlab%20pca%20finance&f=false  <– This has an exact example in this paid book Stochastic Simulation and Applications in Finance with MATLAB Programs

http://en.wikipedia.org/wiki/Principal_component_analysis

http://www.quantatrisk.com/tag/matlab/ <— good explanation of PCA with real world example and source code Best Example headline of (heatmap and different plots!)

Anxiety Detection Model for Stock Traders based on Principal Component Analysis <–This code breaks

http://www.di.ens.fr/~aspremon/PDF/INFORMS05sparsePCA.pdf <– no source code examples

http://www.mathworks.com/com/help/stats/princomp.html <— nice explanation from Mathworks of core function

http://matlab-trading.blogspot.ca/2012/12/using-pca-for-spread-trading.html –> spread trading with detailed description from http://www.cs.bham.ac.uk/~pxt/IDA/PCA.tutorial.pdf with code but not compatible with Matlab

http://www.jasonhsu.org/uploads/1/0/0/7/10075125/principal_components_analysis2.pdf <– no link to the source code

http://www.quantzone.org/?tag=pca –> refers to nlpca framework above

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Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs