Index Tracking Based on Dynamic Time Warping and Constrained k-medoids Clustering
Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45) › 32_Refereed conference paper (with ISBN/ISSN) › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
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| Title of host publication | 2021 11th International Conference on Intelligent Control and Information Processing (ICICIP) |
| Publisher | IEEE |
| Pages | 352-359 |
| ISBN (Electronic) | 978-1-6654-2515-5 |
| Publication status | Published - Dec 2021 |
Publication series
| Name | International Conference on Intelligent Control and Information Processing, ICICIP |
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Conference
| Title | 11th International Conference on Intelligent Control and Information Processing (ICICIP 2021) |
|---|---|
| Place | China |
| City | Dali |
| Period | 3 - 7 December 2021 |
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Abstract
Index tracking is a passive investment strategy by replicating a financial market index using its constituents. In this paper, index tracking is addressed based on k-medoids clustering. k-medoids clustering is formulated as a valuation-constrained k-median problem to cluster index constituents. The dissimilarity coefficients among stocks are measured by using dynamic time warping. Experimental results of index tracking on four major indices are elaborated to demonstrate that the tracking performance of the proposed method with dynamic time warping is superior to that with Pearson correlation coefficients.
Research Area(s)
- dynamic time warping, Index tracking, k-medoids clustering
Citation Format(s)
Index Tracking Based on Dynamic Time Warping and Constrained k-medoids Clustering. / Zhang, Ran; Li, Hongzong; Wang, Jun.
2021 11th International Conference on Intelligent Control and Information Processing (ICICIP). IEEE, 2021. p. 352-359 (International Conference on Intelligent Control and Information Processing, ICICIP).Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45) › 32_Refereed conference paper (with ISBN/ISSN) › peer-review
