84 citations · 141 across the 10 of their papers we have counts for
3 papers · 1 filter
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…