A simple method to detect extreme events from financial time series data

• Published in: Machine learning with applications Vol. 10; p. 100415
• Main Authors: Qu, Tingyu, Mei, Ko Wai, Doray, Arnold
• Format: Journal Article
• Language: English
• Published: Elsevier 01.12.2022
• Subjects: Airline industry; Extreme-event detection; Financial time-series data; Power-law model for tail-slope estimation; Tail risk

Stock prices and other financial data fluctuate dramatically as a result of extreme events. We offer a technique for automatically detecting and ranking these events with financial time series data. Our technique works by fitting the tail of a moving window’s return distribution to a power law. We f...