Re:Principal Component Projection Without Principal Componen...
by ucha on Tuesday February 23, 2016 @10:49PM
(#11164423)
It's used in many quantitative trading models [1]. However, the time it takes compute the eigenvectors is irrelevant to the field because the stocks correlation matrix on which the which the PCA is applied is generally a long term correlation matrix that doesn't need to be updated too frequently.
[1] https://www.math.nyu.edu/faculty/avellane/AvellanedaLeeStatA...