by GCBC Ventures | Nov 11, 2021 | Finance, Machine Learning
Introduction In this article, we cluster stock price time series with hierarchical clustering and Euclidean, correlation, and Jensen-Shannon distances to answer two questions regarding portfolio diversification. How diversified is a given portfolio? How can a...
by GCBC Ventures | Nov 4, 2021 | Finance, Machine Learning
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...
by GCBC Ventures | Oct 27, 2021 | Finance
Introduction In this article, we present a mechanical trading system that is a generalization of a dual moving average cross over system with a fixed time period for exits. Array Of Dual Moving Averages In canonical dual moving average (DMA) systems, a long entry...
by GCBC Ventures | Dec 21, 2020 | Finance
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...
by GCBC Ventures | Nov 20, 2020 | Machine Learning, Papers
In this paper the authors present a Python version of the Self-Organizing Map (SOM) algorithm that can run in parallel on CPUs and GPUs (via CuPy). Additionally, they speed up the algorithm by: heavily exploiting higher-dimensional operations (e.g., matrix-matrix) to...
