# Portfolio Selection via Topological Data Analysis

arXiv: https://arxiv.org/abs/2308.07944 · HTML: https://mlsanity.com/paper/2308.07944/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- Builds on 8 of its 41 references that are in the map.
- First posted on arXiv 15 Aug 2023.

## Builds on (most cited first, 8 of 8)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [Transformers in Time Series: A Survey](https://mlsanity.com/paper/2202.07125/) (2022)
- [TS2Vec: Towards Universal Representation of Time Series](https://mlsanity.com/paper/2106.10466/) (2021)
- [Persistence Images: A Stable Vector Representation of Persistent Homology](https://mlsanity.com/paper/1507.06217/) (2015)
- [An introduction to Topological Data Analysis: fundamental and practical aspects for data scientists](https://mlsanity.com/paper/1710.04019/) (2017)
- [Risk-Averse Trust Region Optimization for Reward-Volatility Reduction](https://mlsanity.com/paper/1912.03193/) (2019)
- [The persistence landscape and some of its properties](https://mlsanity.com/paper/1810.04963/) (2018)
- [Topological Data Analysis for Portfolio Management of Cryptocurrencies](https://mlsanity.com/paper/2009.03362/) (2020)

## Built on by (most cited first, 1 of 1)

- [Time Series Embedding Methods for Classification Tasks: A Review](https://mlsanity.com/paper/2501.13392/) (2025)

## Abstract (arXiv)

Portfolio management is an essential part of investment decision-making. However, traditional methods often fail to deliver reasonable performance. This problem stems from the inability of these methods to account for the unique characteristics of multivariate time series data from stock markets. We present a two-stage method for constructing an investment portfolio of common stocks. The method involves the generation of time series representations followed by their subsequent clustering. Our approach utilizes features based on Topological Data Analysis (TDA) for the generation of representations, allowing us to elucidate the topological structure within the data. Experimental results show that our proposed system outperforms other methods. This superior performance is consistent over different time frames, suggesting the viability of TDA as a powerful tool for portfolio selection.