• Medientyp: E-Book
  • Titel: An Investing Strategy Based on a Complex Network with K-Line Correlations
  • Beteiligte: Lan, Qiujun [Verfasser:in]; Li, Haojie [Verfasser:in]; Mi, Xianhua [Verfasser:in]; Zhang, Chunyu [Verfasser:in]
  • Erschienen: [S.l.]: SSRN, [2023]
  • Umfang: 1 Online-Ressource (29 p)
  • Sprache: Englisch
  • DOI: 10.2139/ssrn.4482809
  • Identifikator:
  • Schlagwörter: K-line correlation ; complex network ; TMFG ; portfolio
  • Entstehung:
  • Anmerkungen:
  • Beschreibung: K-lines are among the most popular technical indicators, with considerable attention from investors and frequent use as a reference for investing. This paper provides a novel investing strategy based on a complex network that is built according to the correlations between K-lines. Its monthly return reaches as high as 5.4% for CSI 300 index constituents, significantly outperforming the market. We also found that i) based on a complex network, it takes only 10 to 20 stocks to construct a portfolio that can track the market and ii) portfolios constructed from edge nodes surpass those constructed from high-centrality nodes
  • Zugangsstatus: Freier Zugang