Clustering of financial time series with application to index and enhanced index tracking portfolio
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References listed on IDEAS
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- Renato Bruni & Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2013. "No arbitrage and a linear portfolio selection model," Economics Bulletin, AccessEcon, vol. 33(2), pages 1247-1258.
- Bertram, William K., 2008. "Measuring time dependent volatility and cross-sectional correlation in Australian equity returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3183-3191.
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- Guastaroba, G. & Speranza, M.G., 2012. "Kernel Search: An application to the index tracking problem," European Journal of Operational Research, Elsevier, vol. 217(1), pages 54-68.
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- Li, Qian & Bao, Liang, 2014. "Enhanced index tracking with multiple time-scale analysis," Economic Modelling, Elsevier, vol. 39(C), pages 282-292.
- D’Urso, Pierpaolo & Cappelli, Carmela & Di Lallo, Dario & Massari, Riccardo, 2013. "Clustering of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2114-2129.
- Y. Shi & A. N. Gorban & T. Y. Yang, 2013. "Is it possible to predict long-term success with k-NN? Case Study of four market indices (FTSE100, DAX, HANGSENG, NASDAQ)," Papers 1307.8308, arXiv.org.
- Liu, Shen & Maharaj, Elizabeth Ann, 2013. "A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples," Computational Statistics & Data Analysis, Elsevier, vol. 60(C), pages 32-49.
- Renato Bruni & Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2012. "A New Lp Model For Enhanced Indexation," Departmental Working Papers of Economics - University 'Roma Tre' 0168, Department of Economics - University Roma Tre.
- repec:eee:finana:v:54:y:2017:i:c:p:159-175 is not listed on IDEAS
- Canakgoz, N.A. & Beasley, J.E., 2009. "Mixed-integer programming approaches for index tracking and enhanced indexation," European Journal of Operational Research, Elsevier, vol. 196(1), pages 384-399, July.
More about this item
KeywordsClustering; Time series; Index tracking; Stochastic optimization;
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