Correlation Matrix Clustering for Statistical Arbitrage Portfolios-Reference-Cited by-同舟云学术

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Correlation Matrix Clustering for Statistical Arbitrage Portfolios

Published:2023-11-25 Issue: Volume: Page:
ISSN:
Container-title:4th ACM International Conference on AI in Finance
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Author:

Jin Qi¹^ORCID,Cucuringu Mihai²^ORCID,Cartea Álvaro¹^ORCID

Affiliation:

1. University of Oxford, UK

2. University of Oxford and The Alan Turing Institute, UK

Publisher

ACM

Link

https://dl.acm.org/doi/pdf/10.1145/3604237.3626894

Reference24 articles.

1. 2023. Wharton Research Data Services. https://wrds-www.wharton.upenn.edu/ 2023. Wharton Research Data Services. https://wrds-www.wharton.upenn.edu/

2. Time-series clustering – A decade review

3. David Bailey and Marcos López de Prado . 2014. The Deflated Sharpe Ratio: Correcting for Selection Bias , Backtest Overfitting, and Non-Normality. The Journal of Portfolio Management 40 (09 2014 ), 94–107. David Bailey and Marcos López de Prado. 2014. The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality. The Journal of Portfolio Management 40 (09 2014), 94–107.

4. ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS

5. Trading co-integrated assets with price impact

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Dynamic Time Warping for Lead-Lag Relationship Detection in Lagged Multi-Factor Models;4th ACM International Conference on AI in Finance;2023-11-25

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