Clustering market regimes using the Wasserstein distance
The problem of rapid and automated detection of distinct market regimes is a topic of great interest to financial mathematicians and practitioners alike. In this paper, we outline an unsupervised learning algorithm for clustering financial time-series into a suitable number of temporal segments (mar...
| Autors principals: | , , |
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| Format: | Internet publication |
| Idioma: | English |
| Publicat: |
SSRN
2021
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