scholarly journals Estimation of the underlying structure of systematic risk with the use of principal component analysis and factor analysis

2014 ◽  
Vol 59 (3) ◽  
pp. 197-234 ◽  
Author(s):  
Rogelio Ladrón de Guevara Cortés ◽  
Salvador Torra Porras
2022 ◽  
Author(s):  
Jaime González Maiz Jiménez ◽  
Adán Reyes Santiago

This research measures the systematic risk of 10 sectors in the American Stock Market, discerning the COVID-19 pandemic period. The novelty of this study is the use of the Principal Component Analysis (PCA) technique to measure the systematic risk of each sector, selecting five stocks per sector with the greatest market capitalization. The results show that the sectors that have the greatest increase in exposure to systematic risk during the pandemic are restaurants, clothing, and insurance, whereas the sectors that show the greatest decrease in terms of exposure to systematic risk are automakers and tobacco. Due to the results of this study, it seems advisable for practitioners to select stocks that belong to either the automakers or tobacco sector to get protection from health crises, such as COVID-19.


2022 ◽  
pp. 146808742110707
Author(s):  
Aran Mohammad ◽  
Reza Rezaei ◽  
Christopher Hayduk ◽  
Thaddaeus Delebinski ◽  
Saeid Shahpouri ◽  
...  

The development of internal combustion engines is affected by the exhaust gas emissions legislation and the striving to increase performance. This demands for engine-out emission models that can be used for engine optimization for real driving emission controls. The prediction capability of physically and data-driven engine-out emission models is influenced by the system inputs, which are specified by the user and can lead to an improved accuracy with increasing number of inputs. Thereby the occurrence of irrelevant inputs becomes more probable, which have a low functional relation to the emissions and can lead to overfitting. Alternatively, data-driven methods can be used to detect irrelevant and redundant inputs. In this work, thermodynamic states are modeled based on 772 stationary measured test bench data from a commercial vehicle diesel engine. Afterward, 37 measured and modeled variables are led into a data-driven dimensionality reduction. For this purpose, approaches of supervised learning, such as lasso regression and linear support vector machine, and unsupervised learning methods like principal component analysis and factor analysis are applied to select and extract the relevant features. The selected and extracted features are used for regression by the support vector machine and the feedforward neural network to model the NOx, CO, HC, and soot emissions. This enables an evaluation of the modeling accuracy as a result of the dimensionality reduction. Using the methods in this work, the 37 variables are reduced to 25, 22, 11, and 16 inputs for NOx, CO, HC, and soot emission modeling while maintaining the accuracy. The features selected using the lasso algorithm provide more accurate learning of the regression models than the extracted features through principal component analysis and factor analysis. This results in test errors RMSETe for modeling NOx, CO, HC, and soot emissions 19.22 ppm, 6.46 ppm, 1.29 ppm, and 0.06 FSN, respectively.


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