Very cool to see researchers moving the needle on something as fundamental as PCA. A few caveats for the "impact" in finance: PCA is an oft-used tool during th

Very cool to see researchers moving the needle on something as fundamental as PCA. A few caveats for the "impact" in finance: PCA is an oft-used tool during the initial research phase, however, once a model, whether on the alpha or risk side, reaches production, marginal improvements to the leading eigenvector will likely be a rounding error compared to other confounding issues, that's assuming PCA survives past the basic first-pass approximation phase of model building at all. There are a number of better and more analytically useful models which I would expect to be used instead. I can already hear some people coming from less quantitative firms or groups arguing PCA is used extensively. However, those same firms and groups rarely adhere strictly to model outputs - Layering on discretionary traders views, which are not often not quantified. I was never on the sell-side responsible for derivatives pricing, but they would almost certainly never include PCA in anything they do, unless perhaps it was a client request?