256 citations · 2.3k across the 100 of their papers we have counts for
4 papers · 1 filter
A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series
Gautier Marti, Philippe Very, Philippe Donnat +1
We present in this paper an empirical framework motivated by the practitioner point of view on stability. The goal is to both assess clustering validity and yield market insights b…
Optimal Copula Transport for Clustering Multivariate Time Series
Gautier Marti, Frank Nielsen, Philippe Donnat
This paper presents a new methodology for clustering multivariate time series leveraging optimal transport between copulas. Copulas are used to encode both (i) intra-dependence of…
HCMapper: An interactive visualization tool to compare partition-based flat clustering extracted from pairs of dendrograms
Gautier Marti, Philippe Donnat, Frank Nielsen +1
We describe a new visualization tool, dubbed HCMapper, that visually helps to compare a pair of dendrograms computed on the same dataset by displaying multiscale partition-based la…
Comment partitionner automatiquement des marches aléatoires ? Avec application à la finance quantitative
Gautier Marti, Frank Nielsen, Philippe Very +1
We present in this paper a novel non-parametric approach useful for clustering Markov processes. We introduce a pre-processing step consisting in mapping multivariate independent a…