One odd thing to me, at least when following reasonable quants, is that they have X strategies, and a risk model, but there's no effort to try to coordinate the models. The oil mod may be pointing to a state of the world that is very unlikely with the state of the world the interest rate model is pointing to.

An obvious thing would be to do a dimensionality reduction, solve finance there and then just transpose back to prices in the price space. Some sort of PCA.

Obviously, doing math there might be considered hard. But at least, if you're going to try to split the modeling effory, it would be a nice to check if the solutions each one found is "feasible" with the dimensionality reduction world.

Is this kind of thing done by quant? Trying to solve everything all at once. If not, any type of effort is put in place with dimensionality reduction?