Quantocracy’s Daily Wrap for 09/14/2020

Network analysis can provide interesting insights into the dynamics of the market, and the continually changing behaviour. A Minimum Spanning Tree (MST) is a useful method of analyzing complex networks, for aspects such as risk management, portfolio design, and trading strategies. For example, Onnela et al. (2003) notices that the optimal Markowitz portfolio is found at the outskirts of the tree

Just imagine that every time you went into a shop, you had to change your clothes, because they had a different dress code? Say your grocer would insist on only people wearing yellow, whilst your supermarket would require red clothes only.. Ok, thats a somewhat ridiculous example, which would never happen. In practice, we can wear whatever we want (within reason), and go into whichever shop