Cryptocurrency Portfolio Diversification Using Network Community Detection

Dimitar Kitanovski, Miroslav Mirchev, I. Chorbev, I. Mishkovski
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引用次数: 1

Abstract

As of the end of 2013 till now we are witnessing huge volatility and risk in the cryptocurrency market compared to flat currency or stock market. Thus, in this market the portfolio diversification is of big importance in order to reduce volatility and keep the optimal return for the investors. A usual approach for portfolio construction is to keep a balance between returns and volatility, based on their interdependence and individual returns. One way of diversification is employing clustering or community detection algorithms to select a more diverse set of assets. We study the utilization of the Louvain algorithm and affinity propagation for community detection, based on correlation and mutual information between cryptocurrencies, for potential application in portfolio diversification.
使用网络社区检测的加密货币投资组合多元化
从2013年底到现在,与货币或股票市场相比,我们见证了加密货币市场的巨大波动和风险。因此,在这个市场中,为了降低波动率,保持投资者的最优收益,投资组合的多样化是非常重要的。构建投资组合的一种常用方法是在收益和波动性之间保持平衡,这是基于它们的相互依赖性和个体收益。多样化的一种方法是使用聚类或社区检测算法来选择更多样化的资产集。我们研究了基于加密货币之间的相关性和互信息的Louvain算法和亲和力传播在社区检测中的应用,以用于投资组合多样化的潜在应用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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