Affinity propagation clustering for intelligent portfolio diversification and investment risk reduction

Chu Chun Chang, Zhi Ting Lin, Wai Wan Koc, Chin Chou, Szu-Hao Huang

研究成果: Conference contribution同行評審

2 引文 斯高帕斯(Scopus)

摘要

In this paper, an intelligent portfolio selection method based on Affinity Propagation clustering algorithm is proposed to solve the stable investment problem. The goal of this work is to minimize the volatility of the selected portfolio from the component stocks of S&P 500 index. Each independent stock can be viewed as a node in graph, and the similarity measurements of stock price variations between companies are calculated as the edge weights. Affinity Propagation clustering algorithm solve the graph theory problem by repeatedly update responsibility and availability message passing matrices. This research tried to find most representative and discriminant features to model the stock similarity. The testing features are divided into two major categories, including time-series covariance, and technical indicators. The historical price and trading volume data is used to simulate the portfolio selection and volatility measurement. After grouping these investment targets into a small set of clusters, the selection process will choose fixed number of stocks from different clusters to form the portfolio. The experimental results show that the proposed system can effectively generate more stable portfolio by Affinity Propagation clustering algorithm with proper similarity features than average cases with similar settings.

原文English
主出版物標題Proceedings - 2016 7th International Conference on Cloud Computing and Big Data, CCBD 2016
發行者Institute of Electrical and Electronics Engineers Inc.
頁面145-150
頁數6
ISBN(電子)9781509035557
DOIs
出版狀態Published - 13 7月 2017
事件7th International Conference on Cloud Computing and Big Data, CCBD 2016 - Taipa, Macau, China
持續時間: 16 11月 201618 11月 2016

出版系列

名字Proceedings - 2016 7th International Conference on Cloud Computing and Big Data, CCBD 2016

Conference

Conference7th International Conference on Cloud Computing and Big Data, CCBD 2016
國家/地區China
城市Taipa, Macau
期間16/11/1618/11/16

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