Community detection and portfolio optimization
Community detection methods can be used to explore the structure of complex systems. The well-known modular configurations in complex financial systems indicate the existence of community structures. Here we analyze the community properties of correlation-based networks in worldwide stock markets and use community information to construct portfolios. Portfolios constructed using community detection methods perform well. Our results can be used as new portfolio optimization and risk management tools.
Code (0)
등록된 구현이 없습니다.
Tasks
Community DetectionManagementPortfolio OptimizationSimilar Papers 제목 키워드 기반
Portfolio Optimization: A Comparative Study
Portfolio optimization has been an area that has attracted considerable attention from the financial research community. Designing a profitable portfolio is a challenging task involving precise forecasting of future stoc…
Portfolio OptimizationCommunity Detection in Cryptocurrencies with Potential Applications to Portfolio Diversification
In this paper, the cross-correlations of cryptocurrency returns are analysed. The paper examines one years worth of data for 146 cryptocurrencies from the period January 1 2019 to December 31 2019. The cross-correlations…
Community DetectionFusion of Sentiment and Asset Price Predictions for Portfolio Optimization
The fusion of public sentiment data in the form of text with stock price prediction is a topic of increasing interest within the financial community. However, the research literature seldom explores the application of in…
Portfolio OptimizationPredictionStock Price PredictionMesoscopic Structure of the Stock Market and Portfolio Optimization
The idiosyncratic (microscopic) and systemic (macroscopic) components of market structure have been shown to be responsible for the departure of the optimal mean-variance allocation from the heuristic `equally-weighted' …
ManagementPortfolio OptimizationNetwork-based diversification of stock and cryptocurrency portfolios
Maintaining a balance between returns and volatility is a common strategy for portfolio diversification, whether investing in traditional equities or digital assets like cryptocurrencies. One approach for diversification…
Community Detection