Principle Component Analysis of Stock Market and Factor Model with R

Source Code : https://github.com/WenkaiCui/PCA-and-Factor-Model Introduction Principle Component Analysis is often used as a tool of dimension reduction and helps visualize high dimension data set. It generates a set of factors that linearly explain a large portion of total variation of data. In quantitative finance, PCA has interesting applications. For example, when using PCA to decompose … More Principle Component Analysis of Stock Market and Factor Model with R