Interview Question: A Question of Principal

Sample Question #39 (financial time series)

What is Principal Component Analysis? Please explain in plain English as well as write down the model.

How does PCA differ from factor analysis?

(Comment: PCA is used heavily in studying asset returns; it is, for instance, a backbone of statistical arbitrage models)

Advertisements
This entry was posted in Sample Qs. Bookmark the permalink.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s