Quantitative And Machine Learning Asset Analysis

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Dynamic Time Warping Nearest Neighbors

Dynamic Time Warping (DTW) We apply Dynamic Time Warping (DTW) to transformed time series of prices, as explained below, to find nearest neighbors for current stocks and ETFs. DTW can be defined as: In time series analysis, dynamic time warping (DTW) is...

Portfolio Diversification Via K-means

Introduction We use the K-means algorithm to answer two questions regarding portfolio diversification. How diversified is a given portfolio? How can a diversified portfolio be constructed? Additionally, we use the multidimensional scaling (MDS) algorithm to visualize...

Visualizing Correlations Among Dow 30 Stocks Via NetworkX

NetworkX is a Python package for the creation, manipulation, and study of the structure, dynamics, and functions of complex networks.

Using daily adjusted close data from 20201118 to 20201218 for Dow 30 stocks, we compute correlation coefficients, apply a threshold of 0.8 to find similar stocks, and produce two types of graphs with NetworkX.

Paper: XPySom: High-Performance Self-Organizing Maps – Mancini et al 2020

In this paper, we introduce XPySom, a new open-source Python implementation of the well-known Self-Organizing Maps (SOM) technique. It is designed to achieve high performance on a single node, exploiting widely available Python libraries for vector processing on multi-core CPUs and GP-GPUs. We present results from an extensive experimental evaluation of XPySom in comparison to widely used open-source SOM implementations, showing that it outperforms the other available alternatives.

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