Application of principal component analysis in Forex market variations
Abstract
In this project I adapt principal component analysis as data driven procedure to
study the variation among sixteen currencies given in Kenya shillings and to reveal any
unsuspected relationship or pattern among them. Two components are extracted, the first
component provided evidence of the joint movement of the currencies while the second
component aided in interpretation of relationship exhibited by the currencies.
SPSS (Version 10) is used for statistical analysis. The ideas are then programmed
using Matlab software to confirm the results.
Citation
Master of Science in StatisticsSponsorhip
University of NairobiPublisher
Department of Mathematics University of Nairobi