Sparse Principal Component Analysis on S&P 500 log-return data (Jul 2023 - Feb 2024)
16Total Nonzero LoadingsSPCA
Evaluation results
| Method | Links | |
|---|---|---|
| SPCACumulative Variance Explained Level=10%2026.03 | 16 | |
| SP-SPCACumulative Variance Explained Level=10%2026.03 | 16 | |
| SP-SPCACumulative Variance Explained Level=20%2026.03 | 52 | |
| SPCACumulative Variance Explained Level=20%2026.03 | 75 | |
| SP-SPCACumulative Variance Explained Level=30%2026.03 | 152 | |
| SPCACumulative Variance Explained Level=30%2026.03 | 209 | |
| SP-SPCACumulative Variance Explained Level=40%2026.03 | 2,002 | |
| SPCACumulative Variance Explained Level=40%2026.03 | 2,187 | |
| SP-SPCACumulative Variance Explained Level=50%2026.03 | 5,721 | |
| SPCACumulative Variance Explained Level=50%2026.03 | 6,319 | |
| SP-SPCACumulative Variance Explained Level=60%2026.03 | 9,055 | |
| SPCACumulative Variance Explained Level=60%2026.03 | 9,852 | |
| SP-SPCACumulative Variance Explained Level=70%2026.03 | 12,103 | |
| SPCACumulative Variance Explained Level=70%2026.03 | 12,856 | |
| SPCACumulative Variance Explained Level=80%2026.03 | 25,150 | |
| SP-SPCACumulative Variance Explained Level=80%2026.03 | 25,150 |