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Singular Valued Decomposition and Principal Component Analysis to Compare Market Indexes
Department of Mathematics, University of the Basque Country, Leioa, Spain
École des Ponts Paris Tech, Paris, France
- 1 Department of Mathematics, University of the Basque Country, Leioa, Spain
- 2 École des Ponts Paris Tech, Paris, France
Journal of Mathematical Finance·Volume 11 (2021)·Pages 484–494·Published 9 June 2021·DOI10.4236/jmf.2021.113027
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Abstract
In this paper, we used the Singular Value Decomposition (SVD) to find the relationships in the fluctuation of the six market indexes CAC 40, DAX, DOW JONES 30, FTSE 100, IBEX35 and NIKKEI 225 during the year 2018. This technique allows relating several indexes in a very similar way the classical Principal Component Analysis (PCA). In fact, we will just use the statistical software to confirm some results.
KeywordsSingular Value DecompositionPrincipal Component AnalysisComputational Aspects of Data Analysis
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