Or this one: https://arxiv.org/pdf/cs/0605067.pdf https://arxiv.org/pdf/cs/0605067.pdf Find non-diversified asset pools based on mutual information of prices.

Or this one: https://arxiv.org/pdf/cs/0605067.pdf https://arxiv.org/pdf/cs/0605067.pdf Find non-diversified asset pools based on mutual information of prices. Avoid too much exposure to any pocket, but do arbitrage within a pocket.