Outliers in financial time series data: Outliers, margin debt, and economic recession

Outliers in financial time series data: Outliers, margin debt, and economic recession

Outliers in financial time series data are different from that in cross-sectional data in terms of the treatment and the detection. First, outliers in time series can be the focus of analysis itself, such as outliers in margin debt to indicate an overheating market. Second, the outlier detection in...

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Bibliographic Details
Main Authors: Kangbok Lee, Yeasung Jeong, Sunghoon Joo, Yeo Song Yoon, Sumin Han, Hyeoncheol Baik
Format: Article
Language:English
Published: Elsevier 2022-12-01
Series:Machine Learning with Applications
Subjects:
Outliers
Time series data
Decomposition methods
Ensemble models
Machine learning
Margin debt
Online Access:http://www.sciencedirect.com/science/article/pii/S2666827022000950

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http://www.sciencedirect.com/science/article/pii/S2666827022000950

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