迭代互补聚类PCA:揭示股票收益中的潜在行业结构

IF 1.8 4区 经济学 Q2 ECONOMICS
Daning Bi , Le Chang , Yanrong Yang
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引用次数: 0

摘要

主成分分析(PCA)是一种广泛应用的降维统计方法,但难以识别特定于群体的模式(亚同质性),例如高维股票回报数据中潜在的行业结构。我们提出了一种迭代互补聚类PCA (ICcPCA),它可以联合估计同质性(市场范围内的影响)和亚同质性(行业特定风险),其中开发了一种遗漏主成分回归(LOO-PCR)聚类方法,将变量(股票)迭代聚类到不相交的多维子空间(组)中。仿真结果表明,ICcPCA在估计主成分数量和恢复数据方面都优于传统主成分分析。在对8个行业的160家公司的股票收益分析中,采用LOO-PCR的ICcPCA可以将市场整体效应与行业特定风险分离开来,具有更高的聚类精度和更低的恢复误差。在投资组合优化中的应用表明,基于iccpca的最小方差投资组合比基于pca的投资组合具有更低的波动性和更高的盈利能力。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Iterative Complement-clustering PCA: Uncovering latent industry structures in stock returns
Principal component analysis (PCA) is a widely implemented statistical method for dimension reduction, but struggles to identify group-specific patterns (sub-homogeneity), such as the latent industry structures in high-dimensional stock return data. We propose an Iterative Complement-clustering PCA (ICcPCA) that jointly estimates homogeneity (market-wide effects) and sub-homogeneity (industry-specific risks), where a Leave-one-out principal component regression (LOO-PCR) clustering approach is developed to iteratively cluster variables (stocks) into disjoint multidimensional subspaces (groups). Simulations show that the ICcPCA outperforms the conventional PCA in both estimating the number of principal components and recovering the data. In analyzing stock returns of 160 firms across 8 industries, ICcPCA with LOO-PCR can separate market-wide effects from industry-specific risks, achieving higher clustering accuracy and lower recovering errors. Applications in portfolio optimization demonstrate that ICcPCA-based minimum variance portfolios can attain lower volatility and higher profitability than PCA-based portfolios.
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来源期刊
Economics Letters
Economics Letters ECONOMICS-
CiteScore
3.20
自引率
5.00%
发文量
348
审稿时长
30 days
期刊介绍: Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.
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