Artikel

Market graph clustering via QUBO and digital annealing

We present a novel technique for cardinality-constrained index-tracking, a common task in the financial industry. Our approach is based on market graph models. We model our reference indices as market graphs and express the index-tracking problem as a quadratic K-medoids clustering problem. We take advantage of a purpose-built hardware architecture to circumvent the NP-hard nature of the problem and solve our formulation efficiently. The main contributions of this article are bridging three separate areas of the literature, market graph models, K-medoid clustering and quadratic binary optimization modeling, to formulate the index-tracking problem as a binary quadratic K-medoid graph-clustering problem. Our initial results show we accurately replicate the returns of various market indices, using only a small subset of their constituent assets. Moreover, our binary quadratic formulation allows us to take advantage of recent hardware advances to overcome the NP-hard nature of the problem and obtain solutions faster than with traditional architectures and solvers.

Sprache
Englisch

Erschienen in
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 1 ; Pages: 1-13 ; Basel: MDPI

Klassifikation
Wirtschaft
Thema
graph clustering
K-medoids
market graph
combinatorial optimization
QUBO
portfolioconstruction
index-tracking

Ereignis
Geistige Schöpfung
(wer)
Hong, Seo Woo
Miasnikof, Pierre
Kwon, Roy
Lawryshyn, Yuri
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2021

DOI
doi:10.3390/jrfm14010034
Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Hong, Seo Woo
  • Miasnikof, Pierre
  • Kwon, Roy
  • Lawryshyn, Yuri
  • MDPI

Entstanden

  • 2021

Ähnliche Objekte (12)