A clustering-based portfolio strategy incorporating momentum effect and market trend prediction

DOI10.1016/J.CHAOS.2018.10.012MaRDI QIDQ2201385zbMATH OpenOpenAlexWikidataFDO

Authors Ya'nan Lu, Sai-Ping Li, Li-Xin Zhong, Xiong-Fei Jiang, Fei Ren

Publication date 29 September 2020

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2018.10.012

zbMATH Keywords

cluster algorithmportfolio strategyfinancial networkmomentum effectmarket trend prediction

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15)

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Cites work

• scientific article; zbMATH DE number 854567 (Why is no real title available?)
• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• A network-based data mining approach to portfolio selection via weighted clique relaxations
• Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock index.
• Community structure in social and biological networks
• Comparative evaluation of genetic algorithm and backpropagation for training neural networks
• Correlation based networks of equity returns sampled at different time horizons
• Mining market data: a network approach
• Multilayer feedforward networks are universal approximators
• Portfolio selection using neural networks
• Sparse causality network retrieval from short time series
• Statistical analysis of financial networks
• The multiplex dependency structure of financial markets
• Wavelet evolutionary network for complex-constrained portfolio rebalancing

Cited in

(4)

• Portfolio optimization using data analysis techniques
• The Confrontation of Two Clustering Methods in Portfolio Management: Ward’s Method Versus DCA Method
• Stock selection strategy of A-share market based on rotation effect and random forest
• Clustering financial data for mutual fund management

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