It&#x27;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&#x27;t need to be updated too frequently.<p>[1] <a href="https:&#x2F;&#x2F;www.math.nyu.edu&#x2F;faculty&#x2F;avellane&#x2F;AvellanedaLeeStatArb071108.pdf" rel="nofollow">https:&#x2F;&#x2F;www.math.nyu.edu&#x2F;faculty&#x2F;avellane&#x2F;AvellanedaLeeStatA...</a>