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PCA

Many examples of PCA uses in finance with Matlab source code

  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 <– …

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Youtube video New Matlab 2013a enhancements in Stats with PCA FPGA and Simulink code generation to your C or C++ API

Youtube video New Matlab 2013a enhancements in Stats with PCA FPGA and Simulink code generation to your C or C++ API Want to learn more? Join my FREE Newletter.                  NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don’t worry as I …

Youtube video New Matlab 2013a enhancements in Stats with PCA FPGA and Simulink code generation to your C or C++ API Read More »

CUDA as a super computer exciting with libraries for neural net learning, genetic algos, FFT, PCA, BLAS

HI there The QuantLabs.net rate increase is coming and scheduled for first week of January 2013, see details below but why wait? The march to my high frequency trading system continues! I have listed below the latest accomplishments in the world of GPU, CUDA ,and Matlab. One major take away in all this is that …

CUDA as a super computer exciting with libraries for neural net learning, genetic algos, FFT, PCA, BLAS Read More »

FREE GPU CUDA 3rd party high level C++ library for math awesomeness with genetic algorith,, neural net learning, PC, FFT, BLAS

FREE GPU CUDA 3rd party high level C++ library for math awesomeness with genetic algorithm, neural net learning, PCA, FFT, BLAS I stlll have to verify this is free but there is a download button with no limitations. I will try to post a video on this. Key is ensure it is compatible for both …

FREE GPU CUDA 3rd party high level C++ library for math awesomeness with genetic algorith,, neural net learning, PC, FFT, BLAS Read More »

Meetups of Ernie Chan’s Pitfall of Backtesting, Monte Carlo primer, Beta analysis, PCA, Bayesian, and MCMC research models coming

Hi there I have added two online Meetups for later this year. 1. Monte Carlo primer on Nov 5 at 7pm EST. Details here. 2. I made a video on this speaker of Dr. Ernie Chan’s Pitfalls of Backtesting. Go here. This Meetup happens on Dec 11 at 6:30 EST. Also, I am preparing so …

Meetups of Ernie Chan’s Pitfall of Backtesting, Monte Carlo primer, Beta analysis, PCA, Bayesian, and MCMC research models coming Read More »

R URLS in Mean reversion, Statistical Arbitrage, Event arbitrage, Market Inefficiency, CAPM, Bayesian, PCA, Markov Chain Monte Carlo

R URLS in Mean reversion, Statistical Arbitrage, Event arbitrage, Market Inefficiency, CAPM, Bayesian, PCA, Markov Chain Monte Carlo This has been posted in the PremiumMembership section. This saves people tonnes of time which R script works and which ones don’t. Also, there will be a R source code walkthrough of each coming over the next …

R URLS in Mean reversion, Statistical Arbitrage, Event arbitrage, Market Inefficiency, CAPM, Bayesian, PCA, Markov Chain Monte Carlo Read More »

Improve your trading strategies with R code for usage of profit off tick data patterns, trade direction, downside risk, trade signals, PCA

Improve your trading strategies with R code for usage of profit off tick data patterns, trade direction, downside risk, trade signals, PCA Hi there, My Algorithm, Modelling, and Strategy Development courses just keep getting bigger and better. In the next few weeks, I’ll be posting R source code to teach you exactly how to: Are …

Improve your trading strategies with R code for usage of profit off tick data patterns, trade direction, downside risk, trade signals, PCA Read More »

Quant analytics: PCA for alpha generation

Quant analytics: PCA for alpha generation I am curious if anyone has had success applying principal component analysis in the context of alpha generation (and not in the context of risk, as PCA is typically applied). For instance, I like the straightforward “absorption ratio” introduced by Kritzman, et al. here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1633027 I suspect that tracking …

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