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Applying separative non-negative matrix factorization to extra-financial data

Mis à jour : mars 4

P. Fogel, C. Geissler, P. Cotte and G. Luta. Bankers Markets & Investors: an academic & professional review, Groupe Banque, In press. February 2021.

Abstract: We present here an original application of the non-negative matrix factorization (NMF) method, for the case of extra-financial data. These data are subject to high correlations between co-variables, as well as between observations. NMF provides a much more relevant clustering of co-variables and observations than a simple principal component analysis (PCA). In addition, we show that an initial data separation step before applying NMF further improves the quality of the clustering.

Link: https://hal.archives-ouvertes.fr/hal-03141876/document