Many examples of PCA uses in finance with Matlab source code

(Last Updated On: April 16, 2014)
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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: <– See the answer by vonjd <– Meucci paper with example code at also focus on portfolio <– uses toy example so not useful <– good example how to use princomp <– little example with no explanation –> Suggested another PCA framework at –> this is an non linear PCA framework  <– This has an exact example in this paid book Stochastic Simulation and Applications in Finance with MATLAB Programs <— 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 <– no source code examples <— nice explanation from Mathworks of core function –> spread trading with detailed description from with code but not compatible with Matlab <– no link to the source code –> refers to nlpca framework above

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