Questions tagged [principal-components]
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20 questions
2
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0
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High correlation between aggregated features constructed with principal components
I have $k$ predictive factors constructed for $N$ assets using differing underlying data sources. For a given date, I compute the daily returns over a lookback window of long/short strategies ...
- 21
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1
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132
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PO (Principal only) mortgage bonds - Does Price or yield go up when interest rates go down?
I'm reading a book that states that PO mortgage bonds go up when interest rates go down as the prepayment happens faster.
I'm confused whether prices go up on PO bonds or yields go up?
- 119
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136
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First Principal Component Large Volatility
I am conducting PCA on several return series of funds and am finding that when I look at the first principal component the values are huge and this the volatility is also enormous relative to the ...
- 277
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1
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789
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Difference between par value and principal?
Could someone explain what is the difference between principal and par value in terms of a bond?
Thanks!
- 43
7
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2
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Principal Component Analysis of yield curve change
Following pictures are the Principal Component Analysis for the yield curve change from
https://www.coursera.org/learn/interest-rate-models/lecture/ZHMM6/principal-...
- 1,253
1
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1
answer
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Applications of PCA to yield curve analysis
One of the applications of Principal Component Analysis in Finance is to analyse the shape of the yield curve.
But what conclusions can be drawn exactly from performing this exercise? Does it help us ...
- 149
6
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2
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759
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Principal components in treasuries: spot vs futures
I'm looking to use first few principal components of the US treasury yields for trading, and have choice of using either the data for treasuries themselves, or for the corresponding futures contracts. ...
- 1,559
1
vote
1
answer
128
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Regression model syntax
I'm following the methodology outlined in Developing High-Frequency Equities Trading Models. On page 27, the author outlines an OLS regression model to obtain beta coefficients. The model is defined ...
- 2,166
2
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1
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4k
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Principal Component Analysis and Yield Curves
I've been tasked with researching trading strategies relating PCA to trading fixed income futures instruments. Apparently PCA is frequently used in this area. I'm just looking for some references for ...
- 73
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1
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232
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Inferring signals in absence of sign of principal components (PCA)?
PCA seems to be very popular in dimension reduction applications and for extracting the top PCs which explain the data. One such application in futures is on the term structure to obtain the level, ...
- 305