Cepstral-based clustering of financial time series

Pierpaolo D’Urso,Livia De Giovanni,Riccardo Massari,Rita L. D’Ecclesia,Elizabeth Ann Maharaj

Expert Systems with Applications（2020）

引用 26|浏览18

暂无评分

摘要

•A fuzzy clustering method for financial time series based on the estimated cepstrum is proposed.•Cepstral weights tune objectively the influence of each cepstral coefficient.•A portfolio maximizing the risk-return tradeoff is a largely investigated topic in finance.

查看译文

关键词

Cepstral,Fuzzy c-medoids,Weighting system,Financial time series,NASDAQ index,MIBTEL index

AI 理解论文

溯源树

样例

生成溯源树，研究论文发展脉络

Chat Paper

正在生成论文摘要