Cepstral-based clustering of financial time series

作者：

Highlights：

• A fuzzy clustering method for financial time series based on the estimated cepstrum is proposed.

• Cepstral weights tune objectively the influence of each cepstral coefficient.

• A portfolio maximizing the risk-return tradeoff is a largely investigated topic in finance.

摘要

•A fuzzy clustering method for financial time series based on the estimated cepstrum is proposed.•Cepstral weights tune objectively the influence of each cepstral coefficient.•A portfolio maximizing the risk-return tradeoff is a largely investigated topic in finance.

论文关键词：Cepstral,Fuzzy c-medoids,Weighting system,Financial time series,NASDAQ index,MIBTEL index

论文评审过程：Received 9 November 2019, Revised 18 April 2020, Accepted 28 June 2020, Available online 9 July 2020, Version of Record 29 July 2020.

论文官网地址：https://doi.org/10.1016/j.eswa.2020.113705