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- Title
USING PCA IN FINANCIAL MARKETS FIELD.
- Authors
IONESCU, Stefan-Alexandru
- Abstract
Principal Component Analysis is a multivariate technique which aims the reduction of the initially causal space, with a minimal loss of the variance. Using this technique I identified a very interesting aspect, subsequently confirmed too by specific methods of discriminant analysis. If before the financial crisis, companies differentiate themselves primarily by rates of profitability, now it's obvious the increasing discriminatory power of liquidity and efficiency rates. We can also see that most companies register values under the standard parameters considered, even for a period of crisis.
- Subjects
PRINCIPAL components analysis; MULTIVARIATE analysis; FINANCIAL crises; FINANCIAL market reaction; FINANCIAL markets
- Publication
Journal of Applied Quantitative Methods, 2015, Vol 10, Issue 2, p94
- ISSN
1842-4562
- Publication type
Article