Clustering of discretely observed diffusion processes
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Publication:962291
Computational methods for problems pertaining to statistics (62-08) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Abstract: In this paper a new dissimilarity measure to identify groups of assets dynamics is proposed. The underlying generating process is assumed to be a diffusion process solution of stochastic differential equations and observed at discrete time. The mesh of observations is not required to shrink to zero. As distance between two observed paths, the quadratic distance of the corresponding estimated Markov operators is considered. Analysis of both synthetic data and real financial data from NYSE/NASDAQ stocks, give evidence that this distance seems capable to catch differences in both the drift and diffusion coefficients contrary to other commonly used metrics.
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Cited in
(13)- Trimmed fuzzy clustering of financial time series based on dynamic time warping
- Italian contributions on some recent research topics in cluster analysis
- Application of passive clustering in directed diffusion algorithm
- Empirical \(L^2\)-distance test statistics for ergodic diffusions
- Composite marginal discrepancies for state-space time series clustering
- Clustering random walk time series
- Distance-based clustering of sparsely observed stochastic processes, with applications to online auctions
- Clustering of large deviations in moving average processes: the long memory regime
- Clustering financial time series with variance ratio statistics
- De-risking strategy: longevity spread buy-in
- Definition of distance for nonlinear time series analysis of marked point process data
- A new dissimilarity measure in time-dependent experiments
- PID: a PDF-induced distance based on permutation cross-distribution entropy
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