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 17, 2020 | Finance, Machine Learning

Finding Similar Stocks Results Code 1. Finding Similar Stocks There are many ways to find stocks with similar behavior based on how one defines similarity and the data used. In this article we use a 12 period channel where, for each period, we have (current adjusted...