Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures
<p>In this work we present a non-parametric online market regime detection method for multidimensional data structures using a path-wise two-sample test derived from a maximum mean discrepancy-based similarity metric on path space that uses rough path signatures as a feature map. The latter si...
| Main Authors: | , |
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| Format: | Internet publication |
| Language: | English |
| Published: |
ArXiv
2023
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