ISSN 1842-4562
Member of DOAJ

Using PCA in Financial Markets Field

Stefan Alexandru IONESCU


PCA, multivariate, financial market, quantitative


Principal Component Analysis is a multivariate technique which aims the reduction of the initially causal space, with a minimal loss of the variance. Using this technique I identified a very interesting aspect, subsequently confirmed too by specific methods of discriminant analysis. If before the financial crisis, companies differentiate themselves primarily by rates of profitability, now it’s obvious the increasing discriminatory power of liquidity and efficiency rates. We can also see that most companies register values under the standard parameters considered, even for a period of crisis.