- Joined
- 10/28/18
- Messages
- 24
- Points
- 13
Boxplot can be used to identify outliers, but if the baseline is shifting upwards, the result is biased. Thus, I am wondering how to detect outliers in such a scenario? Thanks in advance.
-
C++ Programming for Financial Engineering
Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!Python for Finance with Intro to Data Science
Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!An Intuition-Based Options Primer for FE
Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!
How to detect outliers in trending time series dataset?
- Thread starter danielfang
- Start date
- Joined
- 1/27/10
- Messages
- 1,032
- Points
- 173
You can screen for +/- 2 std, etc, but there is no substitute for visual inspection. At Morgan Stanley, we looked at 25,000+ time series every time we updated the data. There may be an AI/ML solution, but a) I haven’t seen one and b) I wouldn’t want to bet my career on it.
Similar threads
