Combining random forest and copula functions: A heuristic approach for selecting assets from a financial crisis perspective
Version of Record online: 26 SEP 2010
Copyright © 2010 John Wiley & Sons, Ltd.
Intelligent Systems in Accounting, Finance and Management
Volume 17, Issue 2, pages 91–109, April/June 2010
How to Cite
De Luca, G., Rivieccio, G. and Zuccolotto, P. (2010), Combining random forest and copula functions: A heuristic approach for selecting assets from a financial crisis perspective. Int. J. Intell. Syst. Acc. Fin. Mgmt., 17: 91–109. doi: 10.1002/isaf.315
- Issue online: 26 SEP 2010
- Version of Record online: 26 SEP 2010
- copula functions;
- Archimedean copula;
- tail dependence;
- Random Fores
In this paper we propose a heuristic strategy aimed at selecting and analysing a set of financial assets, focusing attention on their multivariate tail dependence structure. The selection, obtained through an algorithmic procedure based on data mining tools, assumes the existence of a reference asset we are specifically interested to. The procedure allows one to opt for two alternatives: to prefer those assets exhibiting either a minimum lower tail dependence or a maximum upper tail dependence. The former could be a recommendable opportunity in a financial crisis period. For the selected assets, the tail dependence coefficients are estimated by means of a proper multivariate copula function. Copyright © 2010 John Wiley & Sons, Ltd.