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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:
CoRR (2022)
Keyphrases
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multivariate time series
multivariate time series data
categorical data
stock market
clustering method
human motion
temporal patterns
temporal data
clustering algorithm
computer vision
dimension reduction
phase space reconstruction
k means
object detection
cluster analysis
spatio temporal
similarity measure