84 citations · 141 across the 10 of their papers we have counts for
4 papers · 1 filter
Exploring and measuring non-linear correlations: Copulas, Lightspeed Transportation and Clustering
Gautier Marti, Sebastien Andler, Frank Nielsen +1
We propose a methodology to explore and measure the pairwise correlations that exist between variables in a dataset. The methodology leverages copulas for encoding dependence betwe…
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…
Optimal Transport vs. Fisher-Rao distance between Copulas for Clustering Multivariate Time Series
Gautier Marti, Sébastien Andler, Frank Nielsen +1
We present a methodology for clustering N objects which are described by multivariate time series, i.e. several sequences of real-valued random variables. This clustering methodolo…
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…