Principal Components and Independent Components

Extreme events: blending PCA and ICA [2]

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Bullet points include: Principal Components Analysis (PCA) and Independent Components Analysis (ICA). Their main characteristics and differences. Extreme events and fat tails. Analysing what drives markets. Identifying similarities between PCA and ICA. Blending together PCA and ICA for refined risk model and portfolio construction purposes

Bullet points include: Principal Components Analysis (PCA) and Independent Components Analysis (ICA). Their main characteristics and differences. Extreme events and fat tails. Analysing what drives markets. Identifying similarities between PCA and ICA. Blending together PCA and ICA for refined risk model and portfolio construction purposes

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