| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7383087 | Physica A: Statistical Mechanics and its Applications | 2011 | 13 Pages |
Abstract
⺠This study analyzed the dependence structure of the commodity and stock markets. ⺠Random matrix theory technique and network analysis are used in this research. ⺠The stock and commodity markets must be handled as separated asset classes. ⺠The exception is selected for the multi-spread convergence trading strategy. ⺠The AdaBoost algorithm is used to complement this trading strategy.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Min Jae Kim, Sehyun Kim, Yong Hwan Jo, Soo Yong Kim,