December 2018
Beginner to intermediate
684 pages
21h 9m
English
Content preview from Hands-On Machine Learning for Algorithmic Trading
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PCA for algorithmic trading
PCA is useful for algorithmic trading in several respects. These include the data-driven derivation of risk factors by applying PCA to asset returns, and the construction of uncorrelated portfolios based on the principal components of the correlation matrix of asset returns.