On the classification of financial data with domain agnostic features

DOI10.1016/J.IJAR.2021.07.008MaRDI QIDQ2060754zbMATH OpenOpenAlexFDO

Authors João A. Bastos, Jorge Caiado

Publication date 13 December 2021

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10400.5/21676

zbMATH Keywords

classificationclusteringfinancial economicsmachine learningtime series

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cites work

• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
• A fragmented-periodogram approach for clustering big data time series
• A periodogram-based metric for time series classification
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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Cluster Identification Using Projections
• Clustering financial time series with variance ratio statistics
• Clustering heteroskedastic time series by model-based procedures
• Comparison of time series using subsampling
• Comparison of Times Series with Unequal Length in the Frequency Domain
• Empirical properties of asset returns: stylized facts and statistical issues
• Fuzzy clustering of time series in the frequency domain
• GARCH-based robust clustering of time series
• Gaussian semiparametric estimation of long range dependence
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5243763 (Why is no real title available?)
• Model-based fuzzy time series clustering of conditional higher moments
• Multivariate analysis in vector time series.
• Outlier Detection in Multivariate Time Series by Projection Pursuit
• Robust fuzzy clustering of time series based on B-splines
• Threshold heteroskedastic models
• Time series clustering and classification
• Time-series clustering
• Varieties of long memory models

Cited in

(6)

• Sector categorization using gradient boosted trees trained on fundamental firm data
• Identifying household finance heterogeneity via deep clustering
• Multiway clustering with time-varying parameters
• Time series clustering and classification
• Frequency domain clustering: an application to time series with time-varying parameters
• Fuzzy clustering of time series based on weighted conditional higher moments

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