CPD Events
Detecting And Predicting Price Jumps With Mahalanobis Distance And Signatures
11 Sep 2024
About the event
We observe that while these problems are clearly different; the former can be reformulated in terms of the latter and we can therefore associate jump indicators to data driven metrics for anomaly detection. We propose a three-step process: 1) jump detection: we combine the Mahalanobis distance with path signatures to come up with a data-driven jump indicator; 2) training: we use this M-distance jump indicator as an input feature for Jump Models; 3) prediction: we use new incoming data to predict its hidden state.
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