Forecasting market states
From MaRDI portal
Publication:5234372
DOI10.1080/14697688.2019.1622313zbMath1420.91553arXiv1807.05836OpenAlexW3103407825MaRDI QIDQ5234372
Publication date: 26 September 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.05836
correlation structuretemporal clusteringsparse inverse covariancefinancial market statesinformation filtering networks
Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)
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Uses Software
Cites Work
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