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...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2022-12-01
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| Series: | Machine Learning with Applications |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2666827022000950 |
| _version_ | 1811294388153745408 |
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| author | Kangbok Lee Yeasung Jeong Sunghoon Joo Yeo Song Yoon Sumin Han Hyeoncheol Baik |
| author_facet | Kangbok Lee Yeasung Jeong Sunghoon Joo Yeo Song Yoon Sumin Han Hyeoncheol Baik |
| author_sort | Kangbok Lee |
| collection | DOAJ |
| description | 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 time series should be accompanied by decomposition to exclude inherent patterns. Unfortunately, there is a lack of consensus on the best decomposition method. Thus, we propose an ensemble model that combines multiple decomposition methods. Using the approach, we found that the outliers in margin debt are strong predictors of a recession. |
| first_indexed | 2024-04-13T05:16:50Z |
| format | Article |
| id | doaj.art-9a32f1b844624ae7a2a72c4cc7375f29 |
| institution | Directory Open Access Journal |
| issn | 2666-8270 |
| language | English |
| last_indexed | 2024-04-13T05:16:50Z |
| publishDate | 2022-12-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Machine Learning with Applications |
| spelling | doaj.art-9a32f1b844624ae7a2a72c4cc7375f292022-12-22T03:00:53ZengElsevierMachine Learning with Applications2666-82702022-12-0110100420Outliers in financial time series data: Outliers, margin debt, and economic recessionKangbok Lee0Yeasung Jeong1Sunghoon Joo2Yeo Song Yoon3Sumin Han4Hyeoncheol Baik5Auburn University, Harbert College of Business, 415 W. Magnolia Ave, Auburn, AL 36849, United States of America; Corresponding author.Auburn University, Harbert College of Business, 415 W. Magnolia Ave, Auburn, AL 36849, United States of AmericaCalifornia State University Dominguez Hills, College of Business Administration and Public Policy, 1000 E. Victoria Street, Carson, CA 90747, United States of AmericaAuburn University, Harbert College of Business, 415 W. Magnolia Ave, Auburn, AL 36849, United States of AmericaAuburn University, Harbert College of Business, 415 W. Magnolia Ave, Auburn, AL 36849, United States of AmericaStockton University, School of Business, 101 Vera King Farris Drive, Galloway, NJ 08205, United States of AmericaOutliers 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 time series should be accompanied by decomposition to exclude inherent patterns. Unfortunately, there is a lack of consensus on the best decomposition method. Thus, we propose an ensemble model that combines multiple decomposition methods. Using the approach, we found that the outliers in margin debt are strong predictors of a recession.http://www.sciencedirect.com/science/article/pii/S2666827022000950OutliersTime series dataDecomposition methodsEnsemble modelsMachine learningMargin debt |
| spellingShingle | Kangbok Lee Yeasung Jeong Sunghoon Joo Yeo Song Yoon Sumin Han Hyeoncheol Baik Outliers in financial time series data: Outliers, margin debt, and economic recession Machine Learning with Applications Outliers Time series data Decomposition methods Ensemble models Machine learning Margin debt |
| title | Outliers in financial time series data: Outliers, margin debt, and economic recession |
| title_full | Outliers in financial time series data: Outliers, margin debt, and economic recession |
| title_fullStr | Outliers in financial time series data: Outliers, margin debt, and economic recession |
| title_full_unstemmed | Outliers in financial time series data: Outliers, margin debt, and economic recession |
| title_short | Outliers in financial time series data: Outliers, margin debt, and economic recession |
| title_sort | outliers in financial time series data outliers margin debt and economic recession |
| topic | Outliers Time series data Decomposition methods Ensemble models Machine learning Margin debt |
| url | http://www.sciencedirect.com/science/article/pii/S2666827022000950 |
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