Correlation Matrix Clustering for Statistical Arbitrage Portfolios.

Qi Jin Mihai Cucuringu Álvaro Cartea

Published in: ICAIF (2023)

Keyphrases

correlation matrix
clustering method
clustering algorithm
k means
information theoretic
covariance matrix
singular value decomposition
spectral clustering
random matrix theory
confidence intervals
statistical inference
high dimensional data
portfolio selection
signal subspace