Correlation matrix clustering for statistical arbitrage portfolios

We propose a framework to construct statistical arbitrage portfolios with graph clustering algorithms. First, we use various clustering methods to partition the correlation matrix of market residual returns of stocks into clusters. Next, we construct and evaluate the performance of mean-reverting st...

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Autors principals: Jin, Q, Cucuringu, M, Cartea, A
Format: Conference item
Idioma:English
Publicat: Association for Computing Machinery 2023