LONGITUDINAL MARKET STRUCTURE DETECTION USING A DYNAMIC MODULARITY-SPECTRAL ALGORITHM

By Philipp Wirth, Francesca Medda, Thomas Schröder

Published 2024-07-08

Everscope rating

1666.7

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Dynamic Modularity-Spectral Algorithm (DynMSA). Problem types: Clustering, Portfolio Optimization, Risk Management.

arXiv:2407.04500 · Paper rankings

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