Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Dominguez, Alejandro Rodriguez"'
Portfolio's optimal drivers for diversification are common causes of the constituents' correlations. A closed-form formula for the conditional probability of the portfolio given its optimal common drivers is presented, with each pair constituent-comm
Externí odkaz:
http://arxiv.org/abs/2401.00949
Multi-modal problems can be effectively addressed using multiple hypothesis frameworks, but integrating these frameworks into learning models poses significant challenges. This paper introduces a Structured Radial Basis Function Network (s-RBFN) as a
Externí odkaz:
http://arxiv.org/abs/2309.00781
We present a method to test and monitor structural relationships between time variables. The distribution of the first eigenvalue for lagged correlation matrices (Tracy-Widom distribution) is used to test structural time relationships between variabl
Externí odkaz:
http://arxiv.org/abs/2307.04953
Publikováno v:
2022 IEEE 34th International Conference on Tools with Artificial Intelligence (ICTAI), Macao, China, 2022
We present a geometric version of Quickest Change Detection (QCD) and Quickest Hub Discovery (QHD) tests in correlation structures that allows us to include and combine new information with distance metrics. The topic falls within the scope of sequen
Externí odkaz:
http://arxiv.org/abs/2210.03988
Publikováno v:
Machine Learning with Applications, Volume 11, 2023, 100447, ISSN 2666-8270
We present a framework for modeling asset and portfolio dynamics, incorporating this information into portfolio optimization. For this framework, we introduce the Commonality Principle, providing a solution for the optimal selection of portfolio driv
Externí odkaz:
http://arxiv.org/abs/2202.08921
Publikováno v:
Data Science in Finance & Economics; 2024, Vol. 4 Issue 3, p1-24, 24p
