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Table Of Contents

1 Introduction
2.1 The PCA approach: can you hear the shape of the market?
2.2 Interpretation of the eigenvectors/eigenportfolios
2.3 The ETF approach: using the industries
3 A relative-value model for equity pricing
4.1 Pure mean-reversion
4.2 Mean-reversion with drift
5.1 Synthetic ETFs as factors
5.2 Actual ETFs
5.3 PCA with 15 eigenportfolios
5.4 Using a variable number of PCA factors
6 Taking trading volume into account
7 A closer look at 2007
8 Conclusions
9 Appendix: estimation of the residual process
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Finance SSRN

Finance SSRN

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Published by pasaitow
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Categories:Types, Research
Published by: pasaitow on Feb 01, 2013
Copyright:Attribution Non-commercial


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