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q-fin.CP2019
Agglomerative Likelihood Clustering
Lionel Yelibi, Tim Gebbie
We consider the problem of fast time-series data clustering. Building on previous work modeling the correlation-based Hamiltonian of spin variables we present an updated fast non-e…
q-fin.CP2018
Fast Super-Paramagnetic Clustering
Lionel Yelibi, Tim Gebbie
We map stock market interactions to spin models to recover their hierarchical structure using a simulated annealing based Super-Paramagnetic Clustering (SPC) algorithm. This is dir…