It's used in many quantitative trading models [1]. However, the time it takes compute the eigenvectors is irrelevant to the field because the stocks correlation

It's used in many quantitative trading models [1]. However, the time it takes compute the eigenvectors is irrelevant to the field because the stocks correlation matrix on which the which the PCA is applied is generally a long term correlation matrix that doesn't need to be updated too frequently. [1] https://www.math.nyu.edu/faculty/avellane/AvellanedaLeeStatArb071108.pdf https://www.math.nyu.edu/faculty/avellane/AvellanedaLeeStatA...