Deep Fusion of Lead-lag Graphs:Application to Cryptocurrencies

• URL: http://arxiv.org/abs/2201.02040v1
• Date: Wed, 5 Jan 2022 14:40:32 GMT
• Title: Deep Fusion of Lead-lag Graphs:Application to Cryptocurrencies
• Authors: Hugo Schnoering and Hugo Inzirillo
• Abstract summary: The study of co-movements and dependency between random variables leads us to develop metrics to describe existing connection between assets. Despite the growing literature, some connections remained still undetected. This paper proposes a new representation learning algorithm capable to integrate synchronous and asynchronous relationships.
• Score: 0.0
• License: http://creativecommons.org/licenses/by-nc-sa/4.0/
• Abstract: The study of time series has motivated many researchers, particularly on the area of multivariate-analysis. The study of co-movements and dependency between random variables leads us to develop metrics to describe existing connection between assets. The most commonly used are correlation and causality. Despite the growing literature, some connections remained still undetected. The objective of this paper is to propose a new representation learning algorithm capable to integrate synchronous and asynchronous relationships.

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