Topological Data Analysis in Investment Decisions

Expert Systems with Applications(2020)

引用 13|浏览17
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摘要
•We explore the applications of topological data analysis in investment decision making.•A new strategy based on L1 norms of persistence landscape is proposed to filter assets.•Extensive empirical analysis is performed on assets from economies across the world.•Enhanced indexing models are solved to obtain optimal portfolios from the filtered assets.•Comparative studies show that the proposed strategy leads to more robust portfolios.
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关键词
Topological data analysis,Persistence landscape,Takens’ embedding,Portfolio selection,Enhanced indexing
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