Agglomerative likelihood clustering

DOI10.1088/1742-5468/ac3661OpenAlexW3217577387MaRDI QIDQ5020009

Tim Gebbie, Lionel Yelibi

Publication date: 3 January 2022

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.00951

zbMATH Keywords

quantitative financeclustering techniques

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• Scikit
• UMAP
• hdbscan

Cites Work

• Unnamed Item
• Cleaning large correlation matrices: tools from random matrix theory
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Algorithms of maximum likelihood data clustering with applications
• Clustering of time series data -- a survey
• Hierarchically nested factor model from multivariate data
• Detecting intraday financial market states using temporal clustering
• Dissecting financial markets: sectors and states
• Fast unfolding of communities in large networks