We develop a Bayesian nonparametric model to assess the effect of systematic risks on multiple financial markets, and apply it to understand the behavior of the S&P500 sector indexes between January 1, 2000 and December 31, 2011. More than prediction, our main goal is to understand the evolution...

We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...

Factor models are widely used across diverse areas of application for purposes that include dimensionality reduction, covariance estimation, and feature engineering. Traditional factor models can be seen as an instance of linear embedding methods that project multivariate observations onto a...