Related papers: Copula-Based Clustering of Financial Time Series v…
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…
The data mining technique of time series clustering is well established in many fields. However, as an unsupervised learning method, it requires making choices that are nontrivially influenced by the nature of the data involved. The aim of…
The following working document summarizes our work on the clustering of financial time series. It was written for a workshop on information geometry and its application for image and signal processing. This workshop brought several experts…
Motivated by the problem of computing investment portfolio weightings we investigate various methods of clustering as alternatives to traditional mean-variance approaches. Such methods can have significant benefits from a practical point of…
This study outlines a comprehensive methodology utilizing copulas to discern inconsistencies in the behavior exhibited by pairs of financial assets. It introduces a robust approach to establishing the interrelationship between the returns…
We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory…
The benefits of diversifying risks are difficult to estimate quantitatively because of the uncertainties in the dependence structure between the risks. Also, the modelling of multidimensional dependencies is a non-trivial task. This paper…
Correlation clustering is a flexible framework for partitioning data based solely on pairwise similarity or dissimilarity information, without requiring the number of clusters as input. However, in many practical scenarios, these pairwise…
We present in this paper an empirical framework motivated by the practitioner point of view on stability. The goal is to both assess clustering validity and yield market insights by providing through the data perturbations we propose a…
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…
This note outlines a method for clustering time series based on a statistical model in which volatility shifts at unobserved change-points. The model accommodates some classical stylized features of returns and its relation to GARCH is…
We present a methodology for clustering N objects which are described by multivariate time series, i.e. several sequences of real-valued random variables. This clustering methodology leverages copulas which are distributions encoding the…
We propose a novel model-based clustering approach for samples of time series. We assume as a unique commonality that two observations belong to the same group if structural changes in their behaviours happen at the same time. We resort to…
Assessment of risk levels for existing credit accounts is important to the implementation of bank policies and offering financial products. This paper uses cluster analysis of behaviour of credit card accounts to help assess credit risk…
The subject of the present article is the study of correlations between large insurance companies and their contribution to systemic risk in the insurance sector. Our main goal is to analyze the conditional structure of the correlation on…
We introduce a copula mixture model to perform dependency-seeking clustering when co-occurring samples from different data sources are available. The model takes advantage of the great flexibility offered by the copulas framework to extend…
This paper uses topological data analysis (TDA) tools and introduces a data-driven clustering-based stock selection strategy tailored for sparse portfolio construction. Our asset selection strategy exploits the topological features of stock…
Big data and the use of advanced technologies are relevant topics in the financial market. In this context, complex networks became extremely useful in describing the structure of complex financial systems. In particular, the time evolution…
We study how to assess the potential benefit of diversifying an equity portfolio by investing within and across equity sectors. We analyse 20 years of US stock price data, which includes the global financial crisis (GFC) and the COVID-19…
We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the…