Stefanos Bennett
Affiliation: Department of Statistics, University of Oxford; The Alan Turing Institute (Finance & Economics Programme).
Background: EPSRC CDT in Modern Statistics and Statistical Machine Learning (EP/S023151/1).
Contributions to this wiki:
- Lead author of entities/Bennett Cucuringu Reinert 2022 Lead-Lag Network Clustering (Machine Learning 2022) — first principled methodology for unsupervised lead-lag clustering in multivariate time series. Authored the open-source implementation at https://github.com/stefanosbennett/mlj-lead-lag.
Research themes
- Directed network clustering with statistical guarantees (Cucuringu group)
- Lead-lag detection in financial time series via cross-correlation functionals (ccf-auc, distance correlation) and signatures (Levin 2016)
- Trading signal construction from data-driven cluster structures (rolling EWMA + meta-flow + OLS)
See also
- entities/Mihai Cucuringu / entities/Gesine Reinert — co-authors
- summaries/202211-lead-lag-network-clustering/202211-lead-lag-network-clustering — paper summary