3 papers
stat.ML2016
Clustering Financial Time Series: How Long is Enough?
Gautier Marti, Sébastien Andler, Frank Nielsen +1
Researchers have used from 30 days to several years of daily returns as source data for clustering financial time series based on their correlations. This paper sets up a statistic…
q-fin.ST2016
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…
cs.CE2015
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…