Topological data analysis in investment decisions

•We explore the applications of topological data analysis in investment decision making.•A new strategy based on L1 norms of persistence landscape is proposed to filter assets.•Extensive empirical analysis is performed on assets from economies across the world.•Enhanced indexing models are solved to...

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Bibliographic Details
Published in:	Expert systems with applications Vol. 147; p. 113222
Main Authors:	Goel, Anubha, Pasricha, Puneet, Mehra, Aparna
Format:	Journal Article
Language:	English
Published:	New York Elsevier Ltd 01.06.2020 Elsevier BV
Subjects:	Algorithms Asset allocation Data analysis Datasets Decision analysis Empirical analysis Enhanced indexing Financing Homology Investment Mathematical functions Norms Optimization Persistence landscape Portfolio selection Risk Standard deviation Takens’ embedding Three dimensional models Time dependence Time series Topological data analysis Topology Portfolio selection Enhanced indexing Topological data analysis Takens’ embedding Persistence landscape
ISSN:	0957-4174, 1873-6793
Online Access:	Get full text
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