Related papers: Asset allocation: new evidence through network app…
The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the ``asset tree'' have been studied to reflect the economic taxonomy. The nodes of the tree are identified with stocks…
Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation problem that…
A fundamental problem in studying and modeling economic and financial systems is represented by privacy issues, which put severe limitations on the amount of accessible information. Here we introduce a novel, highly nontrivial method to…
In the project portfolio management, the project selection phase presents the greatest interest. In this article, we focus on this important phase by proposing a new method of projects selection consisting of several steps. We propose as a…
Portfolio optimization is a critical task in investment. Most existing portfolio optimization methods require information on the distribution of returns of the assets that make up the portfolio. However, such distribution information is…
Networks describe a range of social, biological and technical phenomena. An important property of a network is its degree correlation or assortativity, describing how nodes in the network associate based on their number of connections.…
Great research efforts have been devoted to exploiting deep neural networks in stock prediction. While long-range dependencies and chaotic property are still two major issues that lower the performance of state-of-the-art deep learning…
We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…
Finding the important nodes in complex networks by topological structure is of great significance to network invulnerability. Several centrality measures have been proposed recently to evaluate the performance of nodes based on their…
In financial asset management, choosing a portfolio requires balancing returns, risk, exposure, liquidity, volatility and other factors. These concerns are difficult to compare explicitly, with many asset managers using an intuitive or…
The properties of q-dependent cross-correlation matrices of stock market have been analyzed by using the random matrix theory and complex network. The correlation structures of the fluctuations at different magnitudes have unique…
We compare three network portfolio selection methods; hierarchical clustering trees, minimum spanning trees and neighbor-Nets, with random and industry group selection methods on twelve years of data from the 30 Dow Jones Industrial Average…
Stock market returns are typically analyzed using standard regression, yet they reside on irregular domains which is a natural scenario for graph signal processing. To this end, we consider a market graph as an intuitive way to represent…
From a complex network perspective, investigating the stock market holds paramount significance as it enables the systematic revelation of topological features inherent in the market. This approach is crucial in exploring market…
The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlation, the understanding of this difference…
Identifying similar mutual funds with respect to the underlying portfolios has found many applications in financial services ranging from fund recommender systems, competitors analysis, portfolio analytics, marketing and sales, etc. The…
Modern portfolio optimization is centered around creating a low-risk portfolio with extensive asset diversification. Following the seminal work of Markowitz, optimal asset allocation can be computed using a constrained optimization model…
Pairs trading, a strategy that capitalizes on price movements of asset pairs driven by similar factors, has gained significant popularity among traders. Common practice involves selecting highly cointegrated pairs to form a portfolio, which…
The investment economy is a main characteristic of prosperous society. The investment portfolio management is a main financial problem, which has to be solved by the investment, commercial and central banks with the application of modern…
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information…