2 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…