Detecting intraday financial market states using temporal clustering

DOI10.1080/14697688.2016.1171378zbMath1400.91547arXiv1508.04900OpenAlexW1959701668MaRDI QIDQ4554234

Unnamed Author, Tim Gebbie, Diane L. Wilcox

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.04900

zbMATH Keywords

market microstructurestate space reductiontemporal clusteringfinancial market states

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms ⋮ Forecasting market states ⋮ Agglomerative likelihood clustering

Uses Software

• CUDA
• QRM
• Gephi
• plfit

Cites Work

• Unnamed Item
• Unnamed Item
• Complexity in economic and financial markets
• Understanding the cubic and half-cubic laws of financial fluctuations
• Mean-field inference of Hawkes point processes
• ROBUSTNESS IN SCALE-FREE NETWORKS: COMPARING DIRECTED AND UNDIRECTED NETWORKS
• Power-Law Distributions in Empirical Data
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Financial markets as nonlinear adaptive evolutionary systems
• The perception of time, risk and return during periods of speculation
• Dissecting financial markets: sectors and states
• Ensemble properties of high-frequency data and intraday trading rules
• Financial Modelling with Jump Processes
• A Tale of Two Time Scales

This page was built for publication: Detecting intraday financial market states using temporal clustering