Portfolio optimization based on empirical mode decomposition

The investigation about the cross-correlation among financial assets has drawn broad attention recently. Due to the nonlinear and non-stationary identities of the financial time series, e.g., stock return time series, the cross-correlation for different level of fluctuations are quite important for...

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Veröffentlicht in:	Physica A 2019-10, Vol.531 (C), p.121813, Article 121813
Hauptverfasser:	Yang, Li, Zhao, Longfeng, Wang, Chao
Format:	Artikel
Sprache:	eng
Schlagworte:	Correlation-based network Empirical mode decomposition Portfolio optimization Stock market
Online-Zugang:	Volltext
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