Questions tagged [outliers]

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Conceptual help - Machine Learning on finance data set [closed]

I am working on Anomaly detection model problem for a finance data set - set of gift card activation transactions. My team member suggested an idea that " First train the model with normal instances ...
1
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1answer
151 views

Rolling Winsorization for Time-Series

I'm running a multivariate time series analysis and need to deal with some outliers. I'm thinking about using a rolling winsorization (e.g., pull anything above 99.5 percentile and replace with the 99....
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0answers
239 views

Volatility vs. Moving Average Distance

Currently I am designing a little market making bot for forex trading, that puts offers around the mid price. In the market I am trading it happens the order book becomes so thin that the mid price ...
3
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0answers
69 views

What is special about covariance estimation from statistical factor models?

If you were to compare the usual sample covariance estimate to a robust covariance estimate (such as MCD), you can say that the robust estimate is more tolerant to outliers in the data and will not be ...
0
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1answer
85 views

Variability of IVs of OTM options

I'm attempting to fit a curve through moneyness/IV datapoints of intra-day options. As you can see, the data gets sparser and more variable for highly OTM options. I'd like to argue why the outliers ...
1
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0answers
58 views

Outlier removal, issue with TSO function

I'm trying to detect outliers within a financial time series which represents the ratio of cash distributions to equity holders as a percentage operating earnings for the period. Visual inspection ...
2
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1answer
119 views

Events effect on intraday volatility and large outliers

I have an event that takes place over a period of a few days, and I want to estimate the effect it has on market volatility using intraday data with one minute frequency. The problem is, that e.g. ...
9
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1answer
357 views

Is Least Median Squares (LMS) regression commonly used in Finance?

Least Median Squares is often argued to give more stable results than does OLS. Whereas in OLS one minimises the mean of squared residuals, in LMS, one instead minimises the median of squared ...
5
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2answers
3k views

How to remove outliers in financial times series?

I have a bunch of time series; i need to clean them before modelling. So far I just know the “filtering/smoothing” method : -Ex: moving average methodology (filter the data with a moving average (...
0
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0answers
656 views

what is a reasonable beta in CAPM?

I want to predict expected returns for assets using a CAPM, to calculate unexpected (unpredictable, idiosyncratic, non-systemic) returns in portfolios. My CAPM estimated on monthly total gross ...
2
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3answers
734 views

Smoothing Term Curve

Assume that we have current month term curve and the curves from the two previous months. The current curve may be shifted from the average of the previous two curve by some value (a parallel shift). ...