most citedHow Many Components should be Retained from a Multivariate Time Series PCA?

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q-fin.ST2015★ 1 cited

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…