I want to find out if it is ok not to center the data in a PCA when working with stock returns. Centering would remove the trend from the dataset which I believe contains valuable information.
The paper copied below looks at similarities between the use of centred and uncentred data concluding that the results are more similar than expected. However, I am more interested in finding out in which case is ok not to center given that it is a widely use methodology and need to just not using it (or use it if needed).
Just to clarify, by centering I am not referring only to demeaning but also to standardizing.
Cadima J, Jolliffe IT. 2009. On relationships between uncentred and column-centred principal component analysis. Pak. J. Stat. 25, 473–503