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...
| Main Authors: | , , |
|---|---|
| Format: | Internet publication |
| Language: | English |
| Published: |
SSRN
2021
|