Robert Tompkins

affiliation not provided to SSRN

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Scholarly Papers (1)

1.

Potential PCA Interpretation Problems for the Dynamics of Financial Market Data

Number of pages: 28 Posted: 09 Feb 2011
Dimitri Reiswich and Robert Tompkins
Independent and affiliation not provided to SSRN
Downloads 195 (265,254)

Abstract:

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Principal Component Analysis, PCA, Volatility Smile Dynamics, Yield Curve Dynamics, Bisymmetric Matrices, Centro-Symmetric Matrices, Level, Slope, Curvature, Twist