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...
| Główni autorzy: | , , |
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| Format: | Conference item |
| Język: | English |
| Wydane: |
Association for Computing Machinery
2023
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