- Stock2vec Clustering
- make dailty log-return series Embedding Vectors by Word2vec-Skipgram
- pass the embedding vectors to K-Means Clustering Algorithm
- num_clusters : 5
- Stock2Vec Clustering + Double Inverse Volatility
- inverse volatility between assets in one cluster
- inverse volatility between clusters
- Stock2Vec Clustering + inverse volatility + min volatility
- inverse volatility between assets in one cluster
- minimize portfolio volatility using clusters
- Risk parity
- Minimum Volatility
- Maximum Sharpe Ratio
- Equal Weight
- Inverse Volatility
python main.py
- ETF (2008.01 ~ 2022.02)
- VTI : Vanguard Total Stock Market Index Fund ETF
- VEA : Vanguard Developed Markets Index Fund ETF
- VWO : Vanguard Emerging Markets Stock Index Fund ETF
- IAU : iShares COMEX Gold Trust ETF
- DBC : Invesco DB Commodity Index Tracking Fund
- XLB : Materials Select Sector SPDR Fund
- XLE : Energy Select Sector SPDR Fund
- XLF : Financial Select Sector SPDR Fund
- XLI : Industrial Select Sector SPDR Fund
- XLK : Technology Select Sector SPDR Fund
- XLP : Consumer Staples Select Sector SPDR Fund
- XLU : Utilities Select Sector SPDR Fund
- XLV : Health Care Select Sector SPDR Fund
- XLY : 미 경기소비재 ETF
finance-datareader==0.9.31
gensim==4.1.2
matplotlib
numpy==1.19.3
pandas==1.3.4
scikit-learn==1.0.2
scipy==1.8.0
tqdm==4.62.3