Factor Analysis of Russian Stock Market by Principal Component Analysis

Student: Repin Andrei

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2018

The present article gives an account of factors definition which characterize the state of the Russian stock market. Studies use three main approaches to the problem resolution: dynamic representation as macroeconomic indicators, use of fundamental indicators of a financial market and use of special procedures of information retrieval from an initial set of assets. The latter group includes principle component analysis which has been used in the study. Obtained principle components have been interpreted with the help of financial market indicators and have been checked within the scope of a practical case of market risk assessment which is a logical extension of multifactor regression models use from the viewpoint of professional investment activity and studies.

Full text (added May 11, 2018)

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses