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Market state discovery
We explore the concept of financial market state discovery by assessing the robustness of two unsupervised machine learning algorithms: Inverse Covariance Clustering (ICC) and Agglomerative Super Paramagnetic Clustering (ASPC). The assessment is carried out by: simulating market datasets varying in...
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| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2023
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