Add to ORKGThis paper presents a novel application of software developed for constructing a phylogenetic network to the correlation matrix for 126 stocks listed on the Shanghai A Stock Market. We show that by visualizing the correlation matrix using a Neighbor-Net network and using the circular ordering produced during the construction of the network we can reduce the risk of a diversified portfolio compared with random or industry group based selection methods in times of market increase
Aiming at supporting the process of investment portfolio diversification by using a data-driven appr...
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization...
Networks of companies can be constructed by using return correlations. A crucial issue in this appro...
The core of stock portfolio diversification is to pick stocks from different correlation clusters wh...
We propose a framework to construct statistical arbitrage portfolios with graph clustering algorithm...
Accepted by editor 4-Jan-2014This paper presents a novel application of Neighbor-Net, a clustering ...
We review a correlation based clustering procedure applied to a portfolio of assets synchronously tr...
Planning buy-and-hold strategies for stock trading is a challenging financial task. It entails build...
In recent years, association networks and their applications have received increasing interest. The ...
Abstract In this study, we propose a novel approach to analyze a dynamic correlation network of high...
We review a correlation based clustering procedure applied to a portfolio of assets synchronously tr...
In this paper we propose an improved twofold method to identify stock groups using the correlation-b...
This thesis present a topological classification of stocks traded on the Stockholm Stock Exchange ba...
This thesis present a topological classification of stocks traded on the Stockholm Stock Exchange ba...
This thesis introduces three variable clustering methods designed in the context of diversified port...
Aiming at supporting the process of investment portfolio diversification by using a data-driven appr...
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization...
Networks of companies can be constructed by using return correlations. A crucial issue in this appro...
The core of stock portfolio diversification is to pick stocks from different correlation clusters wh...
We propose a framework to construct statistical arbitrage portfolios with graph clustering algorithm...
Accepted by editor 4-Jan-2014This paper presents a novel application of Neighbor-Net, a clustering ...
We review a correlation based clustering procedure applied to a portfolio of assets synchronously tr...
Planning buy-and-hold strategies for stock trading is a challenging financial task. It entails build...
In recent years, association networks and their applications have received increasing interest. The ...
Abstract In this study, we propose a novel approach to analyze a dynamic correlation network of high...
We review a correlation based clustering procedure applied to a portfolio of assets synchronously tr...
In this paper we propose an improved twofold method to identify stock groups using the correlation-b...
This thesis present a topological classification of stocks traded on the Stockholm Stock Exchange ba...
This thesis present a topological classification of stocks traded on the Stockholm Stock Exchange ba...
This thesis introduces three variable clustering methods designed in the context of diversified port...
Aiming at supporting the process of investment portfolio diversification by using a data-driven appr...
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization...
Networks of companies can be constructed by using return correlations. A crucial issue in this appro...