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decomposition

Quant analytics: any one do Covariance matrix pca decomposition?

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 …

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Quant analytics: Projecting a daily risk decomposition to an annual basis

Quant analytics: Projecting a daily risk decomposition to an annual basis Suppose I have a daily risk factor model. The model generates expected daily log security returns based on the security’s exposures to various factors. Factors consist of economic factor exposures as well as cross-sectional z-scores of fundamental factors (i.e. for example, normalized Price/Book) which …

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