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...
| Hlavní autoři: | , , |
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| Médium: | Internet publication |
| Jazyk: | English |
| Vydáno: |
SSRN
2021
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