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Dynamic Time Warping for Lead-Lag Relationship Detection in Lagged Multi-Factor Models.

Yichi ZhangMihai CucuringuAlexander Y. ShestopaloffStefan Zohren
Published in: ICAIF (2023)
Keyphrases
  • dynamic time warping
  • similarity measure
  • image sequences
  • distance measure
  • similarity search
  • lower bounding
  • subsequence matching
  • elastic matching
  • training data
  • lower bound
  • longest common subsequence