Trimmed fuzzy clustering of financial time series based on dynamic time warping

DOI10.1007/s10479-019-03284-1zbMath1477.62289OpenAlexW2959374936WikidataQ127458054 ScholiaQ127458054MaRDI QIDQ2241126

Livia De Giovanni, Pierpaolo D'Urso, Riccardo Massari

Publication date: 8 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-019-03284-1

zbMATH Keywords

trimmingdynamic time warpingmultivariate financial time seriesFTSE MIB indexrobust fuzzy C-medoids clustering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and fuzziness (62M86) Financial markets (91G15)

Related Items (5)

OWA-based robust fuzzy clustering of time series with typicality degrees ⋮ Best strategy to win a match: an analytical approach using hybrid machine learning-clustering-association rule framework ⋮ Exploring long-memory process in the prediction of interval-valued financial time series and its application ⋮ A novel distance measure based on dynamic time warping to improve time series classification ⋮ Cophenetic-based fuzzy clustering of time series by linear dependency

Uses Software

• dtw

Cites Work

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