Lead-lag detection and network clustering for multivariate time series with an application to the US equity market.

Stefanos Bennett

Stefanos Bennett Mihai Cucuringu Gesine Reinert Lead-lag detection and network clustering for multivariate time series with an application to the US equity market. 4497-4538 2022 111 Mach. Learn. 12 https://doi.org/10.1007/s10994-022-06250-4 db/journals/ml/ml111.html#BennettCR22

Stefanos Bennett Mihai Cucuringu Gesine Reinert Lead-lag detection and network clustering for multivariate time series with an application to the US equity market. 2022 abs/2201.08283 CoRR https://arxiv.org/abs/2201.08283 db/journals/corr/corr2201.html#abs-2201-08283

Stefanos Bennett Jase Clarkson Time Series Prediction under Distribution Shift using Differentiable Forgetting. 2022 abs/2207.11486 CoRR https://doi.org/10.48550/arXiv.2207.11486 db/journals/corr/corr2207.html#abs-2207-11486

Jase Clarkson Mihai Cucuringu Gesine Reinert