1-11. Outliers and Filtering

In this lesson, we’ve discussed common sources of outliers and data, some ways to spot them, and a few things you can do to handle them. However, it’s worth noting that your strategy for dealing with outliers will probably vary on a case-by-case basis. In general, pay attention to your dataset and investigate when you … Read more

If possible, we’d like to generate trading signals that are robust to outlying data points. For example, imagine you have an outlier in the closing price time series, a huge positive spike. If you’re using a momentum based strategy and your strategies buy or sell decision is based solely on individual closing price values, then … Read more

After you’ve identified anomalous skew in your signal returns and you think you know the cause, what do you do? The best strategy for dealing with these types of outliers varies on a case-by-case basis. If you know it’s just bad data from the data vendor, you can try to fix it by replacing the … Read more

After you calculate returns from a trading signal, you may suspect the presence of outliers when you examine the distribution of your signal returns. Let me explain what I mean by that. Imagine that we’ve written some code to generate a trading signal and we’ve calculated our monthly returns from a couple years of trading … Read more

So, what do you do when you find outliers and raw price data? Well, although at least large institutions, co- traders usually have a team of people to clean data for them. They may run into situations where they need results fast. The easiest and quickest way to determine if the extreme value is real, … Read more

Finding and handling Outliers in raw price data and signal returns are slightly different scenarios. In this video, we’re going to talk about spotting Outliers in raw data. Outliers to look for in raw data include large changes in stock prices and volumes, missing dates, missing prices and missing volumes. One basic approach to finding … Read more

Thinking about how to deal with Outliers is an important part of signal research. Let me give you a couple examples. Sometimes, the prices of stocks that aren’t traded very much undergo dramatic changes when they are actually traded. As an example, let’s look at some small market capitalization stocks traded on the Hong Kong … Read more

What are we talking about when we talk about outliers? We’re talking about extreme or unexpected values in market data which may or may not represent real events. For example, if we’re tracking a solar energy company stock price, we might see unexpected movements in the price on a day when a solar eclipse occurs. … Read more

Welcome back. In this lesson, we’re going to discuss common sources of Outliers, a few ways to spot them and some methods you can use to handle them. Outliers can be a real nuisance. If not handled intelligently, they can make results look better than they really are. They can lead to false trading signals … Read more