This is the Windows app named Fast PCA for finance problems whose latest release can be downloaded as fastpca-0.5.0.tar.gz. It can be run online in the free hosting provider OnWorks for workstations.
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Fast PCA for finance problems
DESCRIPTION:
Source code for the paper J. Keiner and B. Waterhouse. Fast Principal Components Analysis method for finance problems with unequal time steps. In P. L'Ecuyer and A. B. Owen, editors, Monte Carlo and Quasi-Monte Carlo Methods 2008, Springer Verlag, 2010
Audience
Financial and Insurance Industry, Science/Research
User interface
Command-line
Programming Language
MATLAB
Categories
This is an application that can also be fetched from https://sourceforge.net/projects/fastpca/. It has been hosted in OnWorks in order to be run online in an easiest way from one of our free Operative Systems.