All Questions
Tagged with cluster time-series
7 questions
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Spectral clustering in finance
What are some examples of applying spectral clustering to financial times series data or other areas of finance? Why spectral clustering was used for each application rather than other types of ...
- 3,090
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146
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Clustering the observations in a price or returns series [closed]
Given one stock, what value would there be in clustering the individual sample observations within that stock's historical prices series, or its return series? is univariate clustering done in finance?...
- 3,090
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141
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Which method would you use to compare if a time series of financial returns has more "clusterized volatility" than another?
It is known that the historical series of financial returns are characterized by the so-called volatility clustering. Suppose we approximate the number of two-type clusters, namely the high and low ...
- 133
2
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1
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468
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How can I 'quantize' a time-series in 'groups' exhibiting similar patterns? [closed]
In Signal processing, there is a topic of 'Quantization' (the process of mapping input values from a large set to output values in a (countable) smaller set ('states') ). I would like to construct a ...
- 121
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z-score versus log standardisation of stock prices for calculating correlation; which to use (in ML clustering, distance measure)?
I need to compare (get correlation between) different financial instruments (stocks).
The problem is that different stocks will have different price scales.
I was thinking of using z-score ...
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134
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Time Series clustering
I have financial time series and PCA scores, that I'm trying to cluster. As PCA scores don't have orientation, I would like to know what clustering method would be suitable for clustering these kind ...
- 151
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675
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Memory-efficient clustering algorithm for large time-series datasets
I have a simulation task at hand with ~1e6 time series to be clustered on the basis of statistical measures every few days in the simulation. Most clustering methods I'm aware of require an affinity ...
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