1 citations · 1 across the 9 of their papers we have counts for
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Topological Clustering of Agents in Hidden Information Contagions: Application to Financial Markets
Anubha Goel, Henri Hansen, Juho Kanniainen
Building on topological data analysis and expert knowledge, this study introduces a Mapper-based approach to cluster agents based on their tendency to be influenced by information…
Time-Series Foundation AI Model for Value-at-Risk Forecasting
Anubha Goel, Puneet Pasricha, Juho Kanniainen
This study is the first to analyze the performance of a time-series foundation AI model for Value-at-Risk (VaR), which essentially forecasts the left-tail quantiles of returns. Fou…
Sparse Portfolio Selection via Topological Data Analysis based Clustering
Anubha Goel, Damir Filipović, Puneet Pasricha
This paper uses topological data analysis (TDA) tools and introduces a data-driven clustering-based stock selection strategy tailored for sparse portfolio construction. Our asset s…