Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff, Stefan Zohren. Dynamic Time Warping for Lead-Lag Relationship Detection in Lagged Multi-Factor Models. In 4th ACM International Conference on AI in Finance, ICAIF 2023, Brooklyn, NY, USA, November 27-29, 2023. pages 454-462, ACM, 2023. [doi]
Abstract is missing.