Machine Learning for Quants (Part 6): Introduction In last part, we used clustering to group rows of data (assets) based on their features. But what do we do when we have too many columns (features) that are highly correlated? In quantitative finance, using dozens of highly correlated variables (like the yields of 1-month, 3-month, 1-year, … Continue reading Dimensionality Reduction and Yield Curve Modeling with PCA