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...
| Main Authors: | , , |
|---|---|
| Format: | Conference item |
| Sprog: | English |
| Udgivet: |
Association for Computing Machinery
2023
|