Thursday, March 3, 2016

How to use PCA for trading


Can anyone give me a few pointers of how to approach using PCA for trading? In particular, it seems to me, PCA is useful for selecting a subset of a portfolio of stocks(or other) rather than trading every stock. BUT I wonder if it can also add value when trading a single stock? Can PCA be somehow applied to other inputs that might effect the stock price - perhaps technical indicators?




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