Lead-lag detection and network clustering for multivariate time series with an application to the us equity market

DOI10.1007/s10994-022-06250-4arXiv2201.08283MaRDI QIDQ6097122

Gesine D. Reinert, Mihai Cucuringu, Stefanos Bennett

Publication date: 12 June 2023

Published in: Machine Learning (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.08283

zbMATH Keywords

clusteringunsupervised learningfinancial marketshigh-dimensional time seriesdirected networkslead-lagflow imbalance

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05)

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