In the last years, many clustering techniques dealing with time course data have been proposed due to recent interests in studying phenomena that change over time. A new clustering method suitable for time series applications has been recently proposed by exploiting the properties of the P-splines approach. This semi-parametric tool has several advantages, i.e. it facilitates the removal of noise from time series and it ensures a computational time saving. In this paper, we propose to use this clustering approach on financial data with the aim of building a financial portfolio. Our proposal works directly on time series without any pre-processing, except for the computation of the spline coefficients and, eventually, normalizing the series. We show that our strategy is useful to support the investment decisions of financial practitioners.
A P-spline based clustering approach for portfolio selection / Iorio, Carmela; Frasso, Gianluca; D'Ambrosio, Antonio; Siciliano, Roberta. - In: EXPERT SYSTEMS WITH APPLICATIONS. - ISSN 0957-4174. - 95:(2018), pp. 88-103. [10.1016/j.eswa.2017.11.031]
A P-spline based clustering approach for portfolio selection
Carmela Iorio
;Antonio D’ambrosio;Roberta Siciliano
2018
Abstract
In the last years, many clustering techniques dealing with time course data have been proposed due to recent interests in studying phenomena that change over time. A new clustering method suitable for time series applications has been recently proposed by exploiting the properties of the P-splines approach. This semi-parametric tool has several advantages, i.e. it facilitates the removal of noise from time series and it ensures a computational time saving. In this paper, we propose to use this clustering approach on financial data with the aim of building a financial portfolio. Our proposal works directly on time series without any pre-processing, except for the computation of the spline coefficients and, eventually, normalizing the series. We show that our strategy is useful to support the investment decisions of financial practitioners.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.