Clustering financial return distributions using the Fisher information metric

Keyphrases

• Financial Returns 100%
• Fisher Distance 100%
• Fisher Information Measure 100%
• Return Distribution 100%
• Fisher Information Matrix 66%
• Loss Distribution 66%
• Generalized Extreme Value Distribution 66%
• Distance Function 33%
• Best Model 33%
• Nearest Neighbor 33%
• Similarity Measure 33%
• Differential Geometry 33%
• Distribution Fitting 33%
• One-parameter Model 33%
• Model Distribution 33%
• Financial Risk 33%
• Singles' Day 33%
• Block Maxima 33%
• Parametric Families of Distributions 33%
• Extreme Value Model 33%
• Hierarchical Clustering Algorithm 33%
• Geodesics 33%
• Information Geometry 33%
• Generalized Pareto 33%
• Riemannian Manifold 33%

Mathematics

• Extreme Value Distribution 100%
• Fisher Information Matrix 100%
• Fisher Information 100%
• Return Distribution 100%
• Loss Distribution 100%
• Statistics 50%
• Model Fit 50%
• Distance Function 50%
• Nearest Neighbor 50%
• Similarity Measure 50%
• Hierarchical Clustering 50%
• Differential Geometry 50%
• Riemannian Manifolds 50%
• Information Geometry 50%
• Parametric Family 50%
• Extreme Value 50%