QuantFinanceToGoPricing

Factor Models and PCA

Factor regressions, the principal components of a matrix of returns, and the share of the variance each one explains.

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How this module runs

  1. 01 · IntroductionWhat it is and why it matters
  2. 02 · Key PointsThe most important points
  3. 03 · The Math + PythonFormula, step by step, code
  4. 04 · Real WorldWhere it is used, best practice, common mistakes
  5. 05 · QuestionsExercises and interview
  6. Mini projectOne small program
Mini projectTen series, and the first principal component as the marketOne small program on the topic, to run and to extend step by step.

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