Outliers: The Dangers of Not Being One of the Pack

Volume: 26, Issue: 4, Pages: 165 - 179
Published: Nov 30, 2017
Abstract
Outliers are ubiquitous in modern datasets. Due to noise, uncertainty, and adversarial behavior, such observations are inherent to many real-world problems. In financial applications, outliers are very common not only in time series, but also in multivariate data used for the construction of fundamental factor models of stock returns. In many cases, failing to identify outliers may lead to wrong results and poor performance of the various...
Paper Details
Title
Outliers: The Dangers of Not Being One of the Pack
Published Date
Nov 30, 2017
Volume
26
Issue
4
Pages
165 - 179
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