用路径签名聚类加密资产，构建更优投资组合。
Clustering Digital Assets Using Path Signatures: Application to Portfolio Construction
- 基于路径签名对加密货币行为模式聚类。
- 聚类后构建的投资组合表现优于未过滤全集。
- 适合关注低交易成本与分散风险的投资者。
我们提出一种构建加密货币投资组合的新方法，旨在为投资者提供良好的分散化特性。首先，通过路径签名对这些高波动性数字资产进行聚类，以识别其行为中的相似模式。在完成聚类后，比较此类聚类组合与未过滤数字资产整体的表现。我们的直觉是，基于路径签名的聚类能更好捕捉一组加密货币的主要趋势与特征，从而实现简洁高效的投资组合，降低过高的交易费用。实证结果显示，这一假设成立。
原文摘要 · Abstract (English)
We propose a new way of building portfolios of cryptocurrencies that provide good diversification properties to investors. First, we seek to filter these digital assets by creating some clusters based on their path signature. The goal is to identify similar patterns in the behavior of these highly volatile assets. Once such clusters have been built, we propose "optimal" portfolios by comparing the performances of such portfolios to a universe of unfiltered digital assets. Our intuition is that clustering based on path signatures will make it easier to capture the main trends and features of a group of cryptocurrencies, and allow parsimonious portfolios that reduce excessive transaction fees. Empirically, our assumptions seem to be satisfied.
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