arXiv:2107.00066
공식 코드 · Papers with Code
Market regime classification with signatures
원문 초록
We provide a data-driven algorithm to classify market regimes for time series. We utilise the path signature, encoding time series into easy-to-describe objects, and provide a metric structure which establishes a connection between separation of regimes and clustering of points.
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The Shape of Consumer Behavior: A Symbolic and Topological Analysis of Time Series
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