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Given a lot of market-related features (~100 independent variables such as emerging market, developed market, s&p 500, tech sector returns, etc), I need to select a subset of them that are ideally independent and are the major drivers of the global market during time t=t1 to t=t2.
Are Lasso and PCA good ways to accomplish this? I guess Lasso is a simple, easy method. I think that the problem with PCA is that the interpretation of the result is not going to be easy…
Also, I would appreciate it if someone can share some previous academic papers that dealt with this topic. Thanks!