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

DOI10.1016/J.CHAOS.2018.10.012zbMATH Open1442.91089OpenAlexW2897571783WikidataQ129160447 ScholiaQ129160447MaRDI QIDQ2201385FDOQ2201385

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

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

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zbMATH Keywords

cluster algorithmportfolio strategyfinancial networkmomentum effectmarket trend prediction

Mathematics Subject Classification ID

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

Cites Work

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• Community structure in social and biological networks
• Mining market data: a network approach
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• Multilayer feedforward networks are universal approximators
• Statistical analysis of financial networks
• Portfolio selection using neural networks
• Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock index.
• Correlation based networks of equity returns sampled at different time horizons
• A network-based data mining approach to portfolio selection via weighted clique relaxations
• The multiplex dependency structure of financial markets
• Sparse causality network retrieval from short time series
• Wavelet evolutionary network for complex-constrained portfolio rebalancing
• Comparative evaluation of genetic algorithm and backpropagation for training neural networks

Cited In (2)

• The Confrontation of Two Clustering Methods in Portfolio Management: Ward’s Method Versus DCA Method
• Clustering financial data for mutual fund management

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