quantitative_finance_project

The main task of this project is to reproduce the results of the paper "Clustering Market Regimes using the Wasserstein Distance" (https://arxiv.org/pdf/2110.11848). The focus of this paper is to use the p-Wasserstein distance to detect different regimes in the market. The central point is to modify the classical k-means clustering algorithm in order to group a family of empirical probability measures.