| Autor: |
Wenyan Peng, Mingkai Wen, Xiongfei Jiang, Yan Li, Tingting Chen, Bo Zheng |
| Jazyk: |
angličtina |
| Rok vydání: |
2024 |
| Předmět: |
|
| Zdroj: |
PLoS ONE, Vol 19, Iss 7, p e0303707 (2024) |
| Druh dokumentu: |
article |
| ISSN: |
1932-6203 |
| DOI: |
10.1371/journal.pone.0303707 |
| Popis: |
The complex financial networks, with their nonlinear nature, often exhibit considerable noises, inhibiting the analysis of the market dynamics and portfolio optimization. Existing studies mainly focus on the application of the global motion filtering on the linear matrix to reduce the noise interference. To minimize the noise in complex financial networks and enhance timing strategies, we introduce an advanced methodology employing global motion filtering on nonlinear dynamic networks derived from mutual information. Subsequently, we construct investment portfolios, focusing on peripheral stocks in both the Chinese and American markets. We utilize the growth and decline patterns of the eigenvalue associated with the global motion to identify trends in collective market movement, revealing the distinctive portfolio performance during periods of reinforced and weakened collective movements and further enhancing the strategy performance. Notably, this is the first instance of applying global motion filtering to mutual information networks to construct an investment portfolio focused on peripheral stocks. The comparative analysis demonstrates that portfolios comprising peripheral stocks within global-motion-filtered mutual information networks exhibit higher Sharpe and Sortino ratios compared to those derived from global-motion-filtered Pearson correlation networks, as well as from full mutual information and Pearson correlation matrices. Moreover, the performance of our strategies proves robust across bearish markets, bullish markets, and turbulent market conditions. Beyond enhancing the portfolio optimization, our results provide significant potential implications for diverse research fields such as biological, atmospheric, and neural sciences. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
|
|
Nepřihlášeným uživatelům se plný text nezobrazuje |
K zobrazení výsledku je třeba se přihlásit.
|
