125 citations · 178 across the 13 of their papers we have counts for
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cs.CE2007★ 4 cited
Identifying Small Mean Reverting Portfolios
Alexandre d'Aspremont
Given multivariate time series, we study the problem of forming portfolios with maximum mean reversion while constraining the number of assets in these portfolios. We show that it…
cs.AI2007
Clustering and Feature Selection using Sparse Principal Component Analysis
Ronny Luss, Alexandre d'Aspremont
In this paper, we study the application of sparse principal component analysis (PCA) to clustering and feature selection problems. Sparse PCA seeks sparse factors, or linear combin…