Related papers: Clustering Digital Assets Using Path Signatures: A…
We aim to cluster financial assets in order to identify a small set of stocks to approximate the level of diversification of the whole universe of stocks. We develop a data-driven approach to clustering based on a correlation blockmodel in…
Cryptocurrencies (CCs) have risen rapidly in market capitalization over the last years. Despite striking price volatility, their high average returns have drawn attention to CCs as alternative investment assets for portfolio and risk…
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio…
We consider the problem of constructing a portfolio that combines traditional financial assets with crypto assets. We show that despite the documented attributes of crypto assets, such as high volatility, heavy tails, excess kurtosis, and…
We propose a modelling framework for the optimal selection of crypto assets. Crypto assets differ by two essential features: security (technological) and stability (governance). Investors make choices over crypto assets similarly to how…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
Malwares are the key means leveraged by threat actors in the cyber space for their attacks. There is a large array of commercial solutions in the market and significant scientific research to tackle the challenge of the detection and…
Maintaining a balance between returns and volatility is a common strategy for portfolio diversification, whether investing in traditional equities or digital assets like cryptocurrencies. One approach for diversification is the application…
This paper presents a novel application of a clustering algorithm 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…
The rapidly evolving cryptocurrency market presents unique challenges for investment due to its inherent volatility and evolving regulatory environment. Collective price movements can be exploited to construct diversified portfolios with…
Clustering is a technique for the analysis of datasets obtained by empirical studies in several disciplines with a major application for biomedical research. Essentially, clustering algorithms are executed by machines aiming at finding…
Given a set of assets and an investment capital, the classical portfolio selection problem consists in determining the amount of capital to be invested in each asset in order to build the most profitable portfolio. The portfolio…
In the context of stochastic portfolio theory we introduce a novel class of portfolios which we call linear path-functional portfolios. These are portfolios which are determined by certain transformations of linear functions of a…
This paper focuses on the application of quantitative portfolio management by using integer programming and clustering techniques. Investors seek to gain the highest profits and lowest risk in capital markets. A data-oriented analysis of US…
Understanding the dependence structure of asset returns is fundamental in risk assessment and is particularly relevant in a portfolio diversification strategy. We propose a clustering approach where evidence accumulated in a multiplicity of…
Developments in the distributed ledger technology have led to new types of assets with a broad range of purposes. Although some classification frameworks for common instruments from traditional finance and some for these new, so called…
The only input to attain the portfolio weights of global minimum variance portfolio (GMVP) is the covariance matrix of returns of assets being considered for investment. Since the population covariance matrix is not known, investors use…
One of the defining features of Bitcoin and the thousands of cryptocurrencies that have been derived from it is a globally visible transaction ledger. While Bitcoin uses pseudonyms as a way to hide the identity of its participants, a long…
Correlation clustering provides a method for separating the vertices of a signed graph into the optimum number of clusters without specifying that number in advance. The main goal in this type of clustering is to minimize the number of…
Since its conception, the cryptocurrency market has been frequently described as an immature market, characterized by significant swings in volatility and occasionally described as lacking rhyme or reason. There has been great speculation…