Related papers: Dynamic asset trees and portfolio analysis
Technical trading rules and linear regressive models are often used by practitioners to find trends in financial data. However, these models are unsuited to find non-linearly separable patterns. We propose a decision tree forecasting model…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
A general formulation is presented for continuum scaling limits of stochastic spanning trees. A spanning tree is expressed in this limit through a consistent collection of subtrees, which includes a tree for every finite set of endpoints in…
This paper give a simple linear-time algorithm that, given a weighted digraph, finds a spanning tree that simultaneously approximates a shortest-path tree and a minimum spanning tree. The algorithm provides a continuous trade-off: given the…
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…
We have analyzed the cross-correlations of daily fluctuations for N=6 358 US stock prices during the year 1999. From those $N(N-1)/2$ correlations coefficients, the Minimum Spanning Tree (MST) has been built. We have investigated the…
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the…
Minimal spanning trees on infinite vertex sets are investigated. A criterion for minimality of a spanning tree having a finite length is obtained, which generalizes the corresponding classical result for finite sets. It is given an analytic…
Spanning trees are an important primitive in many data analysis tasks, when a data set needs to be summarized in terms of its "skeleton", or when a tree-shaped graph over all observations is required for downstream processing. Popular…
Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate the mutual dependencies of the stocks and their nature. We…
The seminal work of Chow and Liu (1968) shows that approximation of a finite probabilistic system by Markov trees can achieve the minimum information loss with the topology of a maximum spanning tree. Our current paper generalizes the…
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-Bellman equation is fully nonlinear. Using a delicate partial…
The classical mean-variance framework characterizes portfolio risk solely through return variance and the covariance matrix, implicitly assuming that all relevant sources of risk are captured by second moments. In modern financial markets,…
Greedy minimum weight spanning tree packings have proven to be useful in connectivity-related problems. We study the process of greedy minimum weight base packings in general matroids and explore its applications. For general matroids, we…
A portfolio of different stocks and a risk-less security whose composition is dynamically maintained stable by trading shares at any time step leads to a growth of the capital with a nonrandom rate. This is the key for the theory of…
Portfolio optimization is a task that investors use to determine the best allocations for their investments, and fund managers implement computational models to help guide their decisions. While one of the most common portfolio optimization…
We attempt to shed new light on the notion of 'tree-like' metric spaces by focusing on an approach that does not use the four-point condition. Our key question is: Given metric space $M$ on $n$ points, when does a fully labelled…
This paper investigates the investment problem of constructing an optimal no-short sequential portfolio strategy in a market with a latent dependence structure between asset prices and partly unobservable side information, which is often…
In financial markets marked by inherent volatility, extreme events can result in substantial investor losses. This paper proposes a portfolio strategy designed to mitigate extremal risks. By applying extreme value theory, we evaluate the…
Assign i.i.d. standard exponential edge weights to the edges of the complete graph K_n, and let M_n be the resulting minimum spanning tree. We show that M_n converges in the local weak sense (also called Aldous-Steele or Benjamini-Schramm…