发帖
雷达卡
英文标题：
《A proposal of a methodological framework with experimental guidelines to
investigate clustering stability on financial time series》
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作者：
Gautier Marti, Philippe Very, Philippe Donnat, Frank Nielsen
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最新提交年份：
2015
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英文摘要：
We present in this paper an empirical framework motivated by the practitioner point of view on stability. The goal is to both assess clustering validity and yield market insights by providing through the data perturbations we propose a multi-view of the assets\' clustering behaviour. The perturbation framework is illustrated on an extensive credit default swap time series database available online at www.datagrapple.com.
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中文摘要：
在本文中，我们提出了一个基于实践者稳定性观点的实证框架。我们的目标是通过提供数据扰动来评估聚类有效性和产生市场洞察力，我们提出了资产聚类行为的多视角。扰动框架在www.datagrapple上提供的一个广泛的信用违约掉期时间序列数据库中进行了说明。通用域名格式。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Computer Science 计算机科学
二级分类：Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
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