Now showing items 1-2 of 2

    • Financial Insights from the Last Few Components of a Stock Market PCA 

      Yang L; Rea W; Rea A (2017)
      We show that the last few components in the principal component analysis of the correlation matrix of a group of stocks may contain useful financial insights by identifying highly correlated pairs or larger groups of ...
    • Impending Doom: The Loss of Diversification before a Crisis 

      Rea WS; Yang L; Rea A (2017)
      We present four methods of assessing the diversification potential within a stock market, and two of these are based on principal component analysis. They were applied to the Australian stock exchange for the years 2000 ...