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PCA

Markets

PCA: Using Mean-Reverting Residuals as Trading Signals

Download PDF Introduction PCA (principal component analysis) allows you to explain a system’s total variance through a number of orthogonal components, thus, independent between each other. The main PCs account for most of the variance of the system and represent the main factors that influence variability. In a trading environment, Read more…

By BSIC, 3 days9 November 2025 ago
Markets

WHAT DRIVES CREDIT? Understanding the Cross Section of Expected Corporate Bond Returns

Download PDF Abstract While the literature investigating risk premia driving the cross section of stock returns is extensive, fewer studies analyze corporate bond returns. We set out to understand which factors and firm characteristics command a premium in terms of expected returns on corporate bonds, both in the investment grade Read more…

By BSIC, 4 years10 April 2022 ago

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