84 citations · 198 across the 12 of their papers we have counts for
5 papers · 1 filter
cCorrGAN: Conditional Correlation GAN for Learning Empirical Conditional Distributions in the Elliptope
Gautier Marti, Victor Goubet, Frank Nielsen
We propose a methodology to approximate conditional distributions in the elliptope of correlation matrices based on conditional generative adversarial networks. We illustrate the m…
CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks
Gautier Marti
We propose a novel approach for sampling realistic financial correlation matrices. This approach is based on generative adversarial networks. Experiments demonstrate that generativ…
A review of two decades of correlations, hierarchies, networks and clustering in financial markets
Gautier Marti, Frank Nielsen, Mikołaj Bińkowski +1
We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in…
On clustering financial time series: a need for distances between dependent random variables
Gautier Marti, Frank Nielsen, Philippe Donnat +1
The following working document summarizes our work on the clustering of financial time series. It was written for a workshop on information geometry and its application for image a…
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…