Toward a generic representation of random variables for machine learning

This paper presents a pre-processing and a distance which improve the performance of machine learning algorithms working on independent and identically distributed stochastic processes. We introduce a novel non-parametric approach to represent random variables which splits apart dependency and distribution without losing any information. We also propound an associated metric leveraging this representation and its statistical estimate. Besides experiments on synthetic datasets, the benefits of our contribution is illustrated through the example of clustering financial time series, for instance prices from the credit default swaps market. Results are available on the website www.datagrapple.com and an IPython Notebook tutorial is available at www.datagrapple.com/Tech for reproducible research.Comment: submitted to Pattern Recognition Letter

A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series

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.Comment: Accepted at ICMLA 201

Benchmarking in cluster analysis: A white paper

To achieve scientific progress in terms of building a cumulative body of knowledge, careful attention to benchmarking is of the utmost importance. This means that proposals of new methods of data pre-processing, new data-analytic techniques, and new methods of output post-processing, should be extensively and carefully compared with existing alternatives, and that existing methods should be subjected to neutral comparison studies. To date, benchmarking and recommendations for benchmarking have been frequently seen in the context of supervised learning. Unfortunately, there has been a dearth of guidelines for benchmarking in an unsupervised setting, with the area of clustering as an important subdomain. To address this problem, discussion is given to the theoretical conceptual underpinnings of benchmarking in the field of cluster analysis by means of simulated as well as empirical data. Subsequently, the practicalities of how to address benchmarking questions in clustering are dealt with, and foundational recommendations are made

Clustering Financial Time Series: How Long is Enough?

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 paper sets up a statistical framework to study the validity of such practices. We first show that clustering correlated random variables from their observed values is statistically consistent. Then, we also give a first empirical answer to the much debated question: How long should the time series be? If too short, the clusters found can be spurious; if too long, dynamics can be smoothed out.Comment: Accepted at IJCAI 201