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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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5 results for “eigenportfolios”

On the quantum behavior and clustering properties of correlated financial portfoliosq-fin.ST

Investigates financial portfolios using quantum system analogies and clustering properties.

problem Understanding the behavior and clustering of correlated financial assets.

method Analogy with quantum systems, development of eigenportfolios, and use of metrics for participation matrix.

result Shows localized states in the correlation matrix of digital currencies, indicating clustering behavior.

quantum finance eigenportfolios correlation matrix Wishart ensemble Cauchy distribution

2019-10-15abs ↗pdf ↗

Statistical Arbitrage for Multiple Co-Integrated Stocksq-fin.PM

In this article, we analyse optimal statistical arbitrage strategies from stochastic control and optimisation problems for multiple co-integrated stocks with eigenportfolios being factors. Optimal portfolio weights are found by solving a Hamilton-Jacobi-Bellman (HJB) partial differential equation, which we solve for bo…

2019-08-06abs ↗pdf ↗

Hierarchical PCA and Applications to Portfolio Managementq-fin.PM

HPCA improves PCA for portfolio management by interpreting sector-specific factors.

problem Difficult interpretation of PCA's higher eigenportfolios in practical portfolio management.

method Partitioning the market into sectors and applying Hierarchical PCA.

result HPCA leads to no loss of information and interpretable factors.

Hierarchical PCA Portfolio Management Sector Analysis PCA Interpretation

2019-10-05abs ↗pdf ↗

PCA for Implied Volatility Surfacesq-fin.ST

PCA reveals a market factor in S&P500 implied volatilities.

problem Constructing factor models from implied volatility data.

method PCA on implied volatility tensor structure.

result An OI and Vega-weighted index is a significant factor.

PCA Implied Volatility Factor Models S&P500 Open Interest

2020-01-31abs ↗pdf ↗

Correlation Structures and Regime Shifts in Nordic Stock Marketsq-fin.PM

The paper analyzes Nordic stock markets' correlation structures and regime shifts.

problem Understanding and exploiting regime shifts in Nordic stock markets.

method Examined two decades of daily data for OMXS30, OMXC20, and OMXH25 universes; proposed an adaptive portfolio allocation framework.

result Documented pronounced regime dependence in rolling correlation matrices; proposed an adaptive portfolio allocation framework.

Nordic stock markets regime shifts correlation structures portfolio allocation crisis indicators

2025-12-31abs ↗pdf ↗