Tuesday, November 01, 2011

Dysfunctional Markets: Featuring Principal Component Analysis

Here is a video describing some insights based on research by my former Ph.D. student Dan Fenn. There is some discussion of this work in his Ph.D. thesis and also in this paper.

Somehow, when the media gets ahold of it, a "PCA" turns into a kind of "Risk On, Risk Off index". (Actually, I think HSBC chose to use that name.)

(Tip of the cap to Stacy Williams of HSBC.)

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