Clustering of discretely observed diffusion processes

DOI10.1016/J.CSDA.2009.10.005zbMATH Open1464.62056arXiv0809.3902OpenAlexW2106707672MaRDI QIDQ962291FDOQ962291

Authors: Stefano M. Iacus, Alessandro De Gregorio 

Publication date: 6 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0809.3902

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Mathematics Subject Classification ID

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)

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Cited In (10)

• Empirical \(L^2\)-distance test statistics for ergodic diffusions
• De-risking strategy: longevity spread buy-in
• Trimmed fuzzy clustering of financial time series based on dynamic time warping
• Clustering of large deviations in moving average processes: the long memory regime
• Clustering financial time series with variance ratio statistics
• Italian contributions on some recent research topics in cluster analysis
• Distance-based clustering of sparsely observed stochastic processes, with applications to online auctions
• Composite marginal discrepancies for state-space time series clustering
• A new dissimilarity measure in time-dependent experiments
• Application of passive clustering in directed diffusion algorithm

Uses Software

• R
• fda (R)
• dtw
• sde

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