Search Results - "Donnat, Philippe"

Toward a generic representation of random variables for machine learning by Donnat, Philippe, Marti, Gautier, Very, Philippe

“…•Introduce a non-parametric representation of i.i.d. stochastic processes.•The presented pre-processing boosts performance of algorithms.•Clusterings of…”
Get full text

Optimal copula transport for clustering multivariate time series by Marti, Gautier, Nielsen, Frank, Donnat, Philippe

“…This paper presents a new methodology for clustering multivariate time series leveraging optimal transport between copulas. Copulas are used to encode both (i)…”
Get full text

A review of two decades of correlations, hierarchies, networks and clustering in financial markets by Marti, Gautier, Nielsen, Frank, Bińkowski, Mikołaj, Donnat, Philippe

“…Chapter in Progress in Information Geometry: Theory and Applications, 245-274, 2021 We review the state of the art of clustering financial time series and the…”
Get full text

Hawkes processes for credit indices time series analysis: How random are trades arrival times? by Bahamou, Achraf, Doumergue, Maud, Donnat, Philippe

“…Proceedings - International Conference on Time Series and Forecasting, ITISE 2018. Granada: University of Granada, pp. 1178-1192 Targeting a better…”
Get full text

Putting Self-Supervised Token Embedding on the Tables by Szafraniec, Marc, Marti, Gautier, Donnat, Philippe

“…Information distribution by electronic messages is a privileged means of transmission for many businesses and individuals, often under the form of plain-text…”
Get full text

Putting Self-Supervised Token Embedding on the Tables by Szafraniec, Marc, Marti, Gautier, Donnat, Philippe

“…Information distribution by electronic messages is a privileged means of transmission for many businesses and individuals, often under the form of plain-text…”
Get full text

Autoregressive Convolutional Neural Networks for Asynchronous Time Series by Bińkowski, Mikołaj, Marti, Gautier, Donnat, Philippe

“…We propose Significance-Offset Convolutional Neural Network, a deep convolutional network architecture for regression of multivariate asynchronous time series…”
Get full text

Optimal Copula Transport for Clustering Multivariate Time Series by Marti, Gautier, Nielsen, Frank, Donnat, Philippe

“…This paper presents a new methodology for clustering multivariate time series leveraging optimal transport between copulas. Copulas are used to encode both (i)…”
Get full text

A Proposal of a Methodological Framework with Experimental Guidelines to Investigate Clustering Stability on Financial Time Series by Marti, Gautier, Very, Philippe, Donnat, Philippe, Nielsen, Frank

“…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…”
Get full text

Toward a generic representation of random variables for machine learning by Marti, Gautier, Very, Philippe, Donnat, Philippe

“…This paper presents a pre-processing and a distance which improve the performance of machine learning algorithms working on independent and identically…”
Get full text

Optimal Transport vs. Fisher-Rao distance between Copulas for Clustering Multivariate Time Series by Marti, Gautier, Andler, Sébastien, Nielsen, Frank, Donnat, Philippe

“…We present a methodology for clustering N objects which are described by multivariate time series, i.e. several sequences of real-valued random variables. This…”
Get full text

Exploring and measuring non-linear correlations: Copulas, Lightspeed Transportation and Clustering by Marti, Gautier, Andler, Sebastien, Nielsen, Frank, Donnat, Philippe

“…We propose a methodology to explore and measure the pairwise correlations that exist between variables in a dataset. The methodology leverages copulas for…”
Get full text

On clustering financial time series: a need for distances between dependent random variables by Marti, Gautier, Nielsen, Frank, Donnat, Philippe, Andler, Sébastien

“…The following working document summarizes our work on the clustering of financial time series. It was written for a workshop on information geometry and its…”
Get full text

Clustering Financial Time Series: How Long is Enough? by Marti, Gautier, Andler, Sébastien, Nielsen, Frank, Donnat, Philippe

“…Researchers have used from 30 days to several years of daily returns as source data for clustering financial time series based on their correlations. This…”
Get full text

A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series by Marti, Gautier, Very, Philippe, Donnat, Philippe, Nielsen, Frank

“…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…”
Get full text

HCMapper: An interactive visualization tool to compare partition-based flat clustering extracted from pairs of dendrograms by Marti, Gautier, Donnat, Philippe, Nielsen, Frank, Very, Philippe

“…We describe a new visualization tool, dubbed HCMapper, that visually helps to compare a pair of dendrograms computed on the same dataset by displaying…”
Get full text

Comment partitionner automatiquement des marches al\'eatoires ? Avec application \`a la finance quantitative by Marti, Gautier, Nielsen, Frank, Very, Philippe, Donnat, Philippe

“…We present in this paper a novel non-parametric approach useful for clustering Markov processes. We introduce a pre-processing step consisting in mapping…”
Get full text