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...
| 主要な著者: | , , |
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| フォーマット: | Conference item |
| 言語: | English |
| 出版事項: |
Association for Computing Machinery
2023
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