The PCA Method in Practical Use: Guidelines and Criteria for Selecting and Ordering Asset Symbols
How to Properly Specify the Order of Asset Symbols When Using the PCA Method Implemented in the PCA Arbitrage 3X EA Expert Advisor The Principal Component Analysis (PCA) method has long been recognized as a powerful tool for constructing market-neutral hedging strategies. It enables the analysis of the covariance structure of assets, isolates their contributions…