Price series cross-correlation analysis to enhance the diversification of itemset-based stock portfolios.
Jacopo FiorLuca CaglieroPaolo GarzaPublished in: DSMM@SIGMOD (2020)
Keyphrases
- correlation analysis
- regression analysis
- cluster analysis
- correlation coefficient
- transaction costs
- stock market
- spatial autocorrelation
- association rule mining
- frequent itemsets
- itemsets
- factor analysis
- mining algorithm
- itemset mining
- tabu search
- learning algorithm
- stock price
- unsupervised learning
- data mining techniques
- portfolio selection
- image processing
- computer vision