{"id":"https://openalex.org/W3124130058","doi":"https://doi.org/10.1145/3383455.3422566","title":"Graphical models for financial time series and portfolio selection","display_name":"Graphical models for financial time series and portfolio selection","publication_year":2020,"publication_date":"2020-10-15","ids":{"openalex":"https://openalex.org/W3124130058","doi":"https://doi.org/10.1145/3383455.3422566","mag":"3124130058"},"language":"en","primary_location":{"id":"doi:10.1145/3383455.3422566","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3383455.3422566","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3383455.3422566","source":null,"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the First ACM International Conference on AI in Finance","raw_type":"proceedings-article"},"type":"conference-paper","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://dl.acm.org/doi/pdf/10.1145/3383455.3422566","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5005071267","display_name":"Ni Zhan","orcid":"https://orcid.org/0009-0002-3085-8780"},"institutions":[{"id":"https://openalex.org/I74973139","display_name":"Carnegie Mellon University","ror":"https://ror.org/05x2bcf33","country_code":"US","type":"education","lineage":["https://openalex.org/I74973139"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ni Zhan","raw_affiliation_strings":["Carnegie Mellon University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Carnegie Mellon University","institution_ids":["https://openalex.org/I74973139"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5027843683","display_name":"Yijia Sun","orcid":null},"institutions":[{"id":"https://openalex.org/I74973139","display_name":"Carnegie Mellon University","ror":"https://ror.org/05x2bcf33","country_code":"US","type":"education","lineage":["https://openalex.org/I74973139"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Yijia Sun","raw_affiliation_strings":["Carnegie Mellon University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Carnegie Mellon University","institution_ids":["https://openalex.org/I74973139"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5076637030","display_name":"Aman Jakhar","orcid":null},"institutions":[{"id":"https://openalex.org/I74973139","display_name":"Carnegie Mellon University","ror":"https://ror.org/05x2bcf33","country_code":"US","type":"education","lineage":["https://openalex.org/I74973139"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Aman Jakhar","raw_affiliation_strings":["Carnegie Mellon University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Carnegie Mellon University","institution_ids":["https://openalex.org/I74973139"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100317841","display_name":"He Liu","orcid":"https://orcid.org/0000-0001-9715-2606"},"institutions":[{"id":"https://openalex.org/I74973139","display_name":"Carnegie Mellon University","ror":"https://ror.org/05x2bcf33","country_code":"US","type":"education","lineage":["https://openalex.org/I74973139"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"He Liu","raw_affiliation_strings":["Carnegie Mellon University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Carnegie Mellon University","institution_ids":["https://openalex.org/I74973139"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I74973139"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":3,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"1","last_page":"6"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12205","display_name":"Time Series Analysis and Forecasting","score":0.9876000285148621,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7624860405921936},{"id":"https://openalex.org/keywords/graphical-model","display_name":"Graphical model","score":0.7301713228225708},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6853880882263184},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.5207121968269348},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.5167750120162964},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.505029022693634},{"id":"https://openalex.org/keywords/variety","display_name":"Variety (cybernetics)","score":0.49559175968170166},{"id":"https://openalex.org/keywords/index","display_name":"Index (typography)","score":0.4567592740058899},{"id":"https://openalex.org/keywords/construct","display_name":"Construct (python library)","score":0.4512636959552765},{"id":"https://openalex.org/keywords/cluster-analysis","display_name":"Cluster analysis","score":0.4418559968471527},{"id":"https://openalex.org/keywords/model-selection","display_name":"Model selection","score":0.42991524934768677},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4289973974227905},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.42388322949409485},{"id":"https://openalex.org/keywords/time-series","display_name":"Time series","score":0.4128713309764862},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.3785107135772705},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.36239102482795715},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.23341479897499084},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.10476928949356079},{"id":"https://openalex.org/keywords/project-management","display_name":"Project management","score":0.08490493893623352}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7624860405921936},{"id":"https://openalex.org/C155846161","wikidata":"https://www.wikidata.org/wiki/Q1143367","display_name":"Graphical model","level":2,"score":0.7301713228225708},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6853880882263184},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.5207121968269348},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.5167750120162964},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.505029022693634},{"id":"https://openalex.org/C136197465","wikidata":"https://www.wikidata.org/wiki/Q1729295","display_name":"Variety (cybernetics)","level":2,"score":0.49559175968170166},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.4567592740058899},{"id":"https://openalex.org/C2780801425","wikidata":"https://www.wikidata.org/wiki/Q5164392","display_name":"Construct (python library)","level":2,"score":0.4512636959552765},{"id":"https://openalex.org/C73555534","wikidata":"https://www.wikidata.org/wiki/Q622825","display_name":"Cluster analysis","level":2,"score":0.4418559968471527},{"id":"https://openalex.org/C93959086","wikidata":"https://www.wikidata.org/wiki/Q6888345","display_name":"Model selection","level":2,"score":0.42991524934768677},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4289973974227905},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.42388322949409485},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.4128713309764862},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.3785107135772705},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.36239102482795715},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.23341479897499084},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.10476928949356079},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.08490493893623352},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1145/3383455.3422566","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3383455.3422566","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3383455.3422566","source":null,"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the First ACM International Conference on AI in Finance","raw_type":"proceedings-article"},{"id":"pmh:oai:arXiv.org:2101.09214","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2101.09214","pdf_url":"https://arxiv.org/pdf/2101.09214","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":null},{"id":"mag:3124130058","is_oa":true,"landing_page_url":"https://arxiv.org/pdf/2101.09214.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"pmh:oai:RePEc:arx:papers:2101.09214","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"doi:10.48550/arxiv.2101.09214","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2101.09214","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"doi:10.1145/3383455.3422566","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3383455.3422566","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3383455.3422566","source":null,"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the First ACM International Conference on AI in Finance","raw_type":"proceedings-article"},"sustainable_development_goals":[{"score":0.47999998927116394,"id":"https://metadata.un.org/sdg/9","display_name":"Industry, innovation and infrastructure"}],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3124130058.pdf","grobid_xml":"https://content.openalex.org/works/W3124130058.grobid-xml"},"referenced_works_count":12,"referenced_works":["https://openalex.org/W2024335864","https://openalex.org/W2066228607","https://openalex.org/W2084835725","https://openalex.org/W2113401388","https://openalex.org/W2165232124","https://openalex.org/W2165408259","https://openalex.org/W2195859303","https://openalex.org/W2502486495","https://openalex.org/W2586702902","https://openalex.org/W2618276300","https://openalex.org/W2938815980","https://openalex.org/W2951004968"],"related_works":["https://openalex.org/W3162074165","https://openalex.org/W31812621","https://openalex.org/W2058997625","https://openalex.org/W2033595269","https://openalex.org/W2392820438","https://openalex.org/W2963412851","https://openalex.org/W2101115379","https://openalex.org/W3121412706","https://openalex.org/W3037627225","https://openalex.org/W1990757206","https://openalex.org/W2063743598","https://openalex.org/W3081223947","https://openalex.org/W2983791459","https://openalex.org/W3080520658","https://openalex.org/W1537465881","https://openalex.org/W3124477882","https://openalex.org/W3125093329","https://openalex.org/W2913670669","https://openalex.org/W2995857196","https://openalex.org/W2114632625"],"abstract_inverted_index":{"We":[0,42],"examine":[1],"a":[2],"variety":[3],"of":[4,36],"graphical":[5,58,77],"models":[6,12,50,78],"to":[7],"construct":[8],"optimal":[9,38],"portfolios.":[10],"Graphical":[11],"such":[13],"as":[14],"PCA-KMeans,":[15],"autoencoders,":[16],"dynamic":[17],"clustering,":[18],"and":[19,32,39,67,89],"structural":[20],"learning":[21],"can":[22,79],"capture":[23],"the":[24,29,34,44,48,69,82],"time":[25,86],"varying":[26],"patterns":[27],"in":[28,85,93],"covariance":[30],"matrix":[31],"allow":[33],"creation":[35],"an":[37],"robust":[40],"portfolio.":[41],"compared":[43],"resulting":[45],"portfolios":[46],"from":[47],"different":[49],"with":[51,64],"baseline":[52],"methods.":[53],"In":[54],"many":[55],"cases":[56],"our":[57],"strategies":[59],"generated":[60],"steadily":[61],"increasing":[62],"returns":[63],"low":[65],"risk":[66],"outgrew":[68],"S&P":[70],"500":[71],"index.":[72],"This":[73],"work":[74],"suggests":[75],"that":[76],"effectively":[80],"learn":[81],"temporal":[83],"dependencies":[84],"series":[87],"data":[88],"are":[90],"proved":[91],"useful":[92],"asset":[94],"management.":[95]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1}],"updated_date":"2026-07-14T23:27:15.235271","created_date":"2025-10-10T00:00:00"}
