I have a time series of data that is 300 days long. I compute PCA factor loadings on a moving window of 30 days. There are 7 stocks in the universe. Thus factors F1 through F7 are calculated on each PCA calculation.
However, the signs on factor loadings change. This causes problems when interpreting factor price time series.
What are the different approaches to deal with this problem?
No comments:
Post a Comment