James Mc Greevy

Kaiju Capital Management

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Detecting Multivariate Market Regimes Via Clustering Algorithms

Number of pages: 39 Posted: 27 Mar 2024
Kaiju Capital Management, Imperial College London, King’s College London - Faculty of Natural and Mathematical Sciences, The Alan Turing Institute, Kaiju Capital Management and Kaiju Capital Management
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Abstract:

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k-means clustering, p-Wasserstein, MMD, Mean-Variance optimisation, Stochastic processes, numerical methods, stochastic volatility models, regime classification, unsupervised learning