Applications of Principal Components Analysis in Finance
Principal components analysis (PCA) is a useful tool that can help practitioners streamline data without losing information. In today’s blog, we’ll examine the use of principal components analysis in finance using an empirical example. We’ll look more closely at:
- What PCA is.
- How PCA works.
- How to use the GAUSS Machine Learning library to perform PCA.
- How to interpret PCA results.