24 citations · 26 across the 6 of their papers we have counts for
6 papers
How Many Components should be Retained from a Multivariate Time Series PCA?
Alethea Rea, William Rea
We report on the results of two new approaches to considering how many principal components to retain from an analysis of a multivariate time series. The first is by using a "heat…
Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX
Hannah Cheng, Juan Zhan, William Rea +1
We report the results of fifteen sets of portfolio selection simulations using stocks in the ASX200 index for the period May 2000 to December 2013. We investigated five portfolio s…
How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange
Libin Yang, William Rea, Alethea Rea
We present four methods of assessing the diversification potential within a stock market, two of these are based on principal component analysis. They were applied to the Australia…
Identifying Highly Correlated Stocks Using the Last Few Principal Components
Libin Yang, William Rea, and Alethea Rea
We show that the last few components in principal component analysis of the correlation matrix of a group of stocks may contain useful financial information by identifying highly c…
A Comparision of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones
Hannah Cheng Juan Zhan, William Rea, Alethea Rea
We compare three network portfolio selection methods; hierarchical clustering trees, minimum spanning trees and neighbor-Nets, with random and industry group selection methods on t…
An Application of Correlation Clustering to Portfolio Diversification
Hannah Cheng Juan Zhan, William Rea, Alethea Rea
This paper presents a novel application of a clustering algorithm developed for constructing a phylogenetic network to the correlation matrix for 126 stocks listed on the Shanghai…