Unveil stock correlation via a new tensor-based decomposition method

no code implementations • 14 Nov 2019 • Giuseppe Brandi, Ruggero Gramatica, Tiziana Di Matteo

To retrieve the factor components, we propose a new tensor decomposition (which we name Slice-Diagonal Tensor (SDT) factorization) and compare it to the two most used tensor decompositions, the Tucker and the PARAFAC.

Management Tensor Decomposition