{"id":"https://openalex.org/W4415421690","doi":"https://doi.org/10.15439/2025f3970","title":"Evaluating Effectiveness of Nonlinear Dimensionality Reduction in Hedge Funds\u2019 Returns Forecasting","display_name":"Evaluating Effectiveness of Nonlinear Dimensionality Reduction in Hedge Funds\u2019 Returns Forecasting","publication_year":2025,"publication_date":"2025-10-15","ids":{"openalex":"https://openalex.org/W4415421690","doi":"https://doi.org/10.15439/2025f3970"},"language":"en","primary_location":{"id":"doi:10.15439/2025f3970","is_oa":true,"landing_page_url":"https://doi.org/10.15439/2025f3970","pdf_url":"https://annals-csis.org/Volume_43/drp/pdf/3970.pdf","source":{"id":"https://openalex.org/S4220651875","display_name":"Annals of Computer Science and Information Systems","issn_l":"2300-5963","issn":["2300-5963"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":"https://openalex.org/P4310317484","host_organization_name":"Polskie Towarzystwo Informatyczne","host_organization_lineage":["https://openalex.org/P4310317484"],"host_organization_lineage_names":["Polskie Towarzystwo Informatyczne"],"type":"conference"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Computer Science and Information Systems","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://annals-csis.org/Volume_43/drp/pdf/3970.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5057548691","display_name":"Milica Zukanovi\u0107","orcid":"https://orcid.org/0000-0003-3650-8327"},"institutions":[{"id":"https://openalex.org/I4068193","display_name":"University of Belgrade","ror":"https://ror.org/02qsmb048","country_code":"RS","type":"education","lineage":["https://openalex.org/I4068193"]}],"countries":["RS"],"is_corresponding":true,"raw_author_name":"Milica Zukanovi\u0107","raw_affiliation_strings":["University of Belgrade, Faculty of Organizational Sciences"],"raw_orcid":"https://orcid.org/0000-0003-3650-8327","affiliations":[{"raw_affiliation_string":"University of Belgrade, Faculty of Organizational Sciences","institution_ids":["https://openalex.org/I4068193"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5076972319","display_name":"Aleksa Radosav\u010devi\u0107","orcid":null},"institutions":[{"id":"https://openalex.org/I4068193","display_name":"University of Belgrade","ror":"https://ror.org/02qsmb048","country_code":"RS","type":"education","lineage":["https://openalex.org/I4068193"]}],"countries":["RS"],"is_corresponding":false,"raw_author_name":"Aleksa Radosav\u010devi\u0107","raw_affiliation_strings":["University of Belgrade, Faculty of Organizational Sciences"],"raw_orcid":"https://orcid.org/0009-0006-0069-2117","affiliations":[{"raw_affiliation_string":"University of Belgrade, Faculty of Organizational Sciences","institution_ids":["https://openalex.org/I4068193"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5014750145","display_name":"Ana Poledica","orcid":"https://orcid.org/0000-0002-5929-6446"},"institutions":[{"id":"https://openalex.org/I4068193","display_name":"University of Belgrade","ror":"https://ror.org/02qsmb048","country_code":"RS","type":"education","lineage":["https://openalex.org/I4068193"]}],"countries":["RS"],"is_corresponding":false,"raw_author_name":"Ana Poledica","raw_affiliation_strings":["University of Belgrade, Faculty of Organizational Sciences"],"raw_orcid":"https://orcid.org/0000-0002-5929-6446","affiliations":[{"raw_affiliation_string":"University of Belgrade, Faculty of Organizational Sciences","institution_ids":["https://openalex.org/I4068193"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5077317597","display_name":"Pavle Milo\u0161evi\u0107","orcid":"https://orcid.org/0000-0002-5943-6023"},"institutions":[{"id":"https://openalex.org/I4068193","display_name":"University of Belgrade","ror":"https://ror.org/02qsmb048","country_code":"RS","type":"education","lineage":["https://openalex.org/I4068193"]}],"countries":["RS"],"is_corresponding":false,"raw_author_name":"Pavle Milo\u0161evi\u0107","raw_affiliation_strings":["University of Belgrade, Faculty of Organizational Sciences"],"raw_orcid":"https://orcid.org/0000-0002-5943-6023","affiliations":[{"raw_affiliation_string":"University of Belgrade, Faculty of Organizational Sciences","institution_ids":["https://openalex.org/I4068193"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5070668584","display_name":"Ivan Lukovi\u0107","orcid":"https://orcid.org/0000-0003-1319-488X"},"institutions":[{"id":"https://openalex.org/I4068193","display_name":"University of Belgrade","ror":"https://ror.org/02qsmb048","country_code":"RS","type":"education","lineage":["https://openalex.org/I4068193"]}],"countries":["RS"],"is_corresponding":false,"raw_author_name":"Ivan Lukovi\u0107","raw_affiliation_strings":["University of Belgrade, Faculty of Organizational Sciences"],"raw_orcid":"https://orcid.org/0000-0003-1319-488X","affiliations":[{"raw_affiliation_string":"University of Belgrade, Faculty of Organizational Sciences","institution_ids":["https://openalex.org/I4068193"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5057548691"],"corresponding_institution_ids":["https://openalex.org/I4068193"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.67346939,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"43","issue":null,"first_page":"411","last_page":"416"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9897000193595886,"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/T11059","display_name":"Market Dynamics and Volatility","score":0.9897000193595886,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.987500011920929,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9702000021934509,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.5339000225067139},{"id":"https://openalex.org/keywords/dimensionality-reduction","display_name":"Dimensionality reduction","score":0.4975999891757965},{"id":"https://openalex.org/keywords/artificial-neural-network","display_name":"Artificial neural network","score":0.4771000146865845},{"id":"https://openalex.org/keywords/principal-component-analysis","display_name":"Principal component analysis","score":0.44760000705718994},{"id":"https://openalex.org/keywords/hedge-fund","display_name":"Hedge fund","score":0.44130000472068787},{"id":"https://openalex.org/keywords/support-vector-machine","display_name":"Support vector machine","score":0.4235999882221222},{"id":"https://openalex.org/keywords/boosting","display_name":"Boosting (machine learning)","score":0.42239999771118164},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.4050999879837036},{"id":"https://openalex.org/keywords/curse-of-dimensionality","display_name":"Curse of dimensionality","score":0.39570000767707825}],"concepts":[{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.5339000225067139},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5206000208854675},{"id":"https://openalex.org/C70518039","wikidata":"https://www.wikidata.org/wiki/Q16000077","display_name":"Dimensionality reduction","level":2,"score":0.4975999891757965},{"id":"https://openalex.org/C50644808","wikidata":"https://www.wikidata.org/wiki/Q192776","display_name":"Artificial neural network","level":2,"score":0.4771000146865845},{"id":"https://openalex.org/C27438332","wikidata":"https://www.wikidata.org/wiki/Q2873","display_name":"Principal component analysis","level":2,"score":0.44760000705718994},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4472000002861023},{"id":"https://openalex.org/C204434749","wikidata":"https://www.wikidata.org/wiki/Q105611","display_name":"Hedge fund","level":2,"score":0.44130000472068787},{"id":"https://openalex.org/C12267149","wikidata":"https://www.wikidata.org/wiki/Q282453","display_name":"Support vector machine","level":2,"score":0.4235999882221222},{"id":"https://openalex.org/C46686674","wikidata":"https://www.wikidata.org/wiki/Q466303","display_name":"Boosting (machine learning)","level":2,"score":0.42239999771118164},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.4050999879837036},{"id":"https://openalex.org/C111030470","wikidata":"https://www.wikidata.org/wiki/Q1430460","display_name":"Curse of dimensionality","level":2,"score":0.39570000767707825},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.3862999975681305},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.36800000071525574},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.3605000078678131},{"id":"https://openalex.org/C74193536","wikidata":"https://www.wikidata.org/wiki/Q574844","display_name":"Kernel (algebra)","level":2,"score":0.35830000042915344},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.35690000653266907},{"id":"https://openalex.org/C151876577","wikidata":"https://www.wikidata.org/wiki/Q7049464","display_name":"Nonlinear dimensionality reduction","level":3,"score":0.3483999967575073},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.33820000290870667},{"id":"https://openalex.org/C41608201","wikidata":"https://www.wikidata.org/wiki/Q980509","display_name":"Embedding","level":2,"score":0.32899999618530273},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.31040000915527344},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3091999888420105},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.296999990940094},{"id":"https://openalex.org/C2776172590","wikidata":"https://www.wikidata.org/wiki/Q7629421","display_name":"Style analysis","level":4,"score":0.29420000314712524},{"id":"https://openalex.org/C122280245","wikidata":"https://www.wikidata.org/wiki/Q620622","display_name":"Kernel method","level":3,"score":0.29260000586509705},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.2784999907016754},{"id":"https://openalex.org/C2781067378","wikidata":"https://www.wikidata.org/wiki/Q17027399","display_name":"Interpretability","level":2,"score":0.2768000066280365},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.2728999853134155},{"id":"https://openalex.org/C57493831","wikidata":"https://www.wikidata.org/wiki/Q3134666","display_name":"Projection (relational algebra)","level":2,"score":0.2702000141143799},{"id":"https://openalex.org/C118038509","wikidata":"https://www.wikidata.org/wiki/Q382970","display_name":"Projection pursuit","level":2,"score":0.27000001072883606},{"id":"https://openalex.org/C182335926","wikidata":"https://www.wikidata.org/wiki/Q17093020","display_name":"Kernel principal component analysis","level":4,"score":0.2667999863624573},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.2623000144958496},{"id":"https://openalex.org/C41045048","wikidata":"https://www.wikidata.org/wiki/Q202843","display_name":"Linear programming","level":2,"score":0.260699987411499},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.25859999656677246}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.15439/2025f3970","is_oa":true,"landing_page_url":"https://doi.org/10.15439/2025f3970","pdf_url":"https://annals-csis.org/Volume_43/drp/pdf/3970.pdf","source":{"id":"https://openalex.org/S4220651875","display_name":"Annals of Computer Science and Information Systems","issn_l":"2300-5963","issn":["2300-5963"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":"https://openalex.org/P4310317484","host_organization_name":"Polskie Towarzystwo Informatyczne","host_organization_lineage":["https://openalex.org/P4310317484"],"host_organization_lineage_names":["Polskie Towarzystwo Informatyczne"],"type":"conference"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Computer Science and Information Systems","raw_type":"proceedings-article"},{"id":"pmh:oai:rfos.fon.bg.ac.rs:123456789/3095","is_oa":true,"landing_page_url":"https://rfos.fon.bg.ac.rs/handle/123456789/3095","pdf_url":"https://rfos.fon.bg.ac.rs/bitstream/123456789/3095/1/Evaluating%20Effectiveness%20of%20Nonlinear%20Dimensionality%20Reduction%20in%20Hedge%20Funds%e2%80%99%20Returns%20Forecasting.pdf","source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"In M. Bolanowski, M. Ganzha, L. Maciaszek, M. Paprzycki, & D. \u015al\u0119zak (Eds.), 2025 20th Conference on Computer Science and Intelligence Systems (FedCSIS) (pp. 411-416). Piscataway, NJ: IEEE. DOI: 10.15439/2025F3970 ISBN:978-83-973291-6-4 held: Krak\u00f3w, Poland, September 14-17, 2025","raw_type":"conferenceObject"},{"id":"pmh:oai:doaj.org/article:a57ef6ec683f4c5fbda4077d65910dc5","is_oa":true,"landing_page_url":"https://doaj.org/article/a57ef6ec683f4c5fbda4077d65910dc5","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Annals of computer science and information systems, Vol 43, Pp 411-416 (2025)","raw_type":"article"},{"id":"pmh:oai:rfos.fon.bg.ac.rs:123456789/2951","is_oa":false,"landing_page_url":"https://rfos.fon.bg.ac.rs/handle/123456789/2951","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"2025 20th Conference on Computer Science and Intelligence Systems (FedCSIS)","raw_type":"conferenceObject"}],"best_oa_location":{"id":"doi:10.15439/2025f3970","is_oa":true,"landing_page_url":"https://doi.org/10.15439/2025f3970","pdf_url":"https://annals-csis.org/Volume_43/drp/pdf/3970.pdf","source":{"id":"https://openalex.org/S4220651875","display_name":"Annals of Computer Science and Information Systems","issn_l":"2300-5963","issn":["2300-5963"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":"https://openalex.org/P4310317484","host_organization_name":"Polskie Towarzystwo Informatyczne","host_organization_lineage":["https://openalex.org/P4310317484"],"host_organization_lineage_names":["Polskie Towarzystwo Informatyczne"],"type":"conference"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Computer Science and Information Systems","raw_type":"proceedings-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4415421690.pdf","grobid_xml":"https://content.openalex.org/works/W4415421690.grobid-xml"},"referenced_works_count":17,"referenced_works":["https://openalex.org/W1974076946","https://openalex.org/W1995834279","https://openalex.org/W2967743080","https://openalex.org/W3014040695","https://openalex.org/W3120269867","https://openalex.org/W3122866873","https://openalex.org/W3131860561","https://openalex.org/W3155362250","https://openalex.org/W3162047983","https://openalex.org/W4205539948","https://openalex.org/W4288358820","https://openalex.org/W4323321625","https://openalex.org/W4366966689","https://openalex.org/W4379012366","https://openalex.org/W4403674127","https://openalex.org/W4408564568","https://openalex.org/W4409973437"],"related_works":[],"abstract_inverted_index":{"Hedge":[0],"funds":[1],"(HF)":[2],"are":[3,80],"actively":[4],"managed":[5],"investment":[6,110],"vehicles":[7],"employing":[8],"diverse":[9,108],"and":[10,22,66,69,92,98,124,135],"often":[11],"complex":[12],"strategies.Accurate":[13],"returns":[14,105,157],"forecasting":[15,36,84],"is":[16],"essential":[17],"for":[18,155],"optimizing":[19],"their":[20],"performance":[21,73],"managing":[23],"risk.This":[24],"paper":[25],"investigates":[26],"the":[27,50,146],"application":[28],"of":[29,52,74,106,148],"nonlinear":[30,93,130,149],"dimensionality":[31],"reduction":[32],"(DR)":[33],"methods":[34],"in":[35,44,151],"HF":[37,109,156],"strategy":[38],"performance,":[39],"building":[40],"upon":[41],"prior":[42],"work":[43],"financial":[45],"time":[46,158],"series":[47],"analysis.We":[48],"evaluate":[49],"effectiveness":[51],"Kernel":[53],"Principal":[54],"Component":[55],"Analysis":[56],"(KPCA),":[57],"t-Distributed":[58],"Stochastic":[59],"Neighbor":[60],"Embedding":[61],"(t-SNE),":[62],"Uniform":[63],"Manifold":[64],"Approximation":[65],"Projection":[67],"(UMAP),":[68],"autoencoders":[70],"on":[71],"predictive":[72,153],"machine":[75],"learning":[76],"models.The":[77],"extracted":[78],"features":[79],"fed":[81],"into":[82],"several":[83],"models,":[85],"Support":[86],"Vector":[87],"Machine":[88],"(SVM)":[89],"with":[90,138],"linear":[91],"kernels,":[94],"Neural":[95],"Network":[96],"(NN),":[97],"Extreme":[99],"Gradient":[100],"Boosting":[101],"(XGB),":[102],"to":[103],"predict":[104],"five":[107],"strategies:":[111],"Commodity":[112],"Trading":[113],"Advisors,":[114],"Equity":[115,118],"Long":[116],"Short,":[117],"Market":[119],"Neutral,":[120],"Fixed":[121],"Income":[122],"Arbitrage,":[123],"Global":[125],"Macro.The":[126],"results":[127],"demonstrate":[128],"that":[129],"DR":[131],"methods,":[132],"particularly":[133],"autoencoders,":[134],"KPCA":[136],"combined":[137],"NN,":[139],"significantly":[140],"outperform":[141],"other":[142],"techniques.Our":[143],"findings":[144],"highlight":[145],"value":[147],"transformations":[150],"enhancing":[152],"accuracy":[154],"series.":[159]},"counts_by_year":[],"updated_date":"2026-05-06T08:25:59.206177","created_date":"2025-10-24T00:00:00"}
