ArXiv
Finance
Modularity-Spectral Algorithm for Market Detection: The study presents the Dynamic Modularity-Spectral Algorithm (DynMSA) for identifying stock clusters, uncovering hidden market structures and enhancing portfolio allocation, specifically applied to the S&P 500 constituents. (2024-07-05, shares: 3)
Idiosyncratic Covariance Estimation: The res…
Keep reading with a 7-day free trial
Subscribe to Machine Learning & Quant Finance to keep reading this post and get 7 days of free access to the full post archives.