Riding Wavelets: A Method to Discover New Classes of Price Jumps

By C´ ecilia Aubrun, Rudy Morel, Michael Benzaquen, Jean-Philippe Bouchaud

Published 2024-04-26

Everscope rating

1347

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Wavelet-based unsupervised classification. Problem types: Classification, Time Series Analysis, Clustering.

arXiv:2404.16467 · Paper rankings

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