论文标题
加密货币投资组合管理的拓扑数据分析
Topological Data Analysis for Portfolio Management of Cryptocurrencies
论文作者
论文摘要
投资组合管理对于任何投资决定都是必不可少的。然而，文献中的传统方法不适合加密货币的特征和动态。这项工作提出了一种建立投资组合的方法，该投资组合包括1500多个加密货币，涵盖了6年的市场数据。它围绕拓扑数据分析（TDA），这是一种从其拓扑结构的角度分析数据集的最新方法。该出版物提出了一个结合持久性景观的系统，以确定加密货币中合适的投资机会。这项研究使用了一种新颖而全面的数据集，该研究表明，所提出的系统使分析师能够从文献中胜过经典方法，而无需在TDA中进行任何功能工程或领域知识。因此，这项工作介绍了基于TDA的加密货币的投资组合管理，作为从业者的可行工具。
Portfolio management is essential for any investment decision. Yet, traditional methods in the literature are ill-suited for the characteristics and dynamics of cryptocurrencies. This work presents a method to build an investment portfolio consisting of more than 1500 cryptocurrencies covering 6 years of market data. It is centred around Topological Data Analysis (TDA), a recent approach to analyze data sets from the perspective of their topological structure. This publication proposes a system combining persistence landscapes to identify suitable investment opportunities in cryptocurrencies. Using a novel and comprehensive data set of cryptocurrency prices, this research shows that the proposed system enables analysts to outperform a classic method from the literature without requiring any feature engineering or domain knowledge in TDA. This work thus introduces TDA-based portfolio management of cryptocurrencies as a viable tool for the practitioner.
