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20:14
Principal Component Analysis: Step-by-Step Manual Derivation & Practical Illustration
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Jane Street pays $750K/year for quants who master Principal Components Analysis and Martingale processes.80-minutes. free. By MIT Professor."what's true about a martingale is that the expected value in the future is always a constant level equal to the last level of the series."here's what they cover:• PCA matrix math for modeling 500+ stock returns• step-by-step mathematical derivation of CAPM • Stein's Lemma & risk aversion adjustments in pricing• 10,000-step random walks and Martingale theory
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