72 citations · 204 across the 11 of their papers we have counts for
Showing 2016Show all
3 papers · 1 filter
q-fin.ST2016★ 72 cited
Dynamic portfolio strategy using clustering approach
Fei Ren, Ya-Nan Lu, Sai-Ping Li +3
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying struct…
q-fin.ST2016★ 3 cited
Dynamic structure of stock communities: A comparative study between stock returns and turnover rates
Li-Ling Su, Xiong-Fei Jiang, Sai-Ping Li +2
The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study t…
physics.soc-ph2016★ 3 cited
Geography and distance effect on financial dynamics in the Chinese stock market
Xing Li, Tian Qiu, Guang Chen +2
Geography effect is investigated for the Chinese stock market including the Shanghai and Shenzhen stock markets, based on the daily data of individual stocks. The Shanghai city and…