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Lead-lag detection and network clustering for multivariate time series with an application to the US equity market.
Stefanos Bennett
Mihai Cucuringu
Gesine Reinert
Published in:
Mach. Learn. (2022)
Keyphrases
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multivariate time series
multivariate time series data
categorical data
clustering algorithm
temporal patterns
temporal data
stock market
object detection
k means
cluster analysis
neural network
clustering method
phase space reconstruction
data mining
knn
autoregressive