Repository for the Quantitative Investment course's final project. In this study, we implemented a portfolio selection strategy based on Stock Correlation Network. Our approach is based on the work by [1] and the implementation found on this repository.

Group:

1. Cynthia (黄欣欣)
2. David Cecchini
3. Zero (政雪翎)

• [1] Chi K. Tse, Jing Liu, and Francis C.M. Lau. A network perspective of the stock market. Journal of Empirical Finance, 2010. ISSN 09275398. doi: 10.1016/j.jempfin.2010.04.008.
• [2] Ernesto Estrada, Desmond J. Higham, and Naomichi Hatano. Communicability betweenness in complex networks. Physica A: Statistical Mechanics and its Applications, 2009. ISSN 03784371. doi: 10.1016/j.physa.2008.11.011.
• [3] Harry Markowitz. Portfolio Selection. The Journal of Finance, 1952. ISSN 15406261. doi: 10.1111/j.1540-6261.1952.tb01525.x.
• [4] Gábor J. Székely and Maria L. Rizzo. Brownian distance covariance. Annals of Applied Statistics, 2009. ISSN 19326157. doi: 10.1214/09-AOAS312.
• [5] Gábor J. Székely, Maria L. Rizzo, and Nail K. Bakirov. Measuring and testing dependence by correlation of distances. Annals of Statistics, 2007. ISSN 00905364. doi: 10.1214/009053607000000505.