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Chinese Journal of Management Science ›› 2004, Vol. ›› Issue (3): 7-11.

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Linear Mining Algorithms Design for Outliers in Financial Time Series and its Authentic Proofs

YANG Hu, LI Qiang   

  1. College of Science, Chongqing University, Chongqing 400044, China
  • Received:2003-05-27 Revised:2004-03-31 Online:2004-06-28 Published:2012-03-07

Abstract: Owing to the internal relations,the data in financial market usually manifest as the interrelated time series.This paper mainly discusses how to simplify time series models in financial market into relevant linear models and how to examine the existence of outliers and differentiate innovation outliers from additive outliers with traditional linear models.The mining of innovation outliers has not only the theoretical significance but also a great practical significance in the research on financial risk.Besides,the two algorithms proposed in this paper are analyzed with authentic proofs;in this way,the two methods in the study of financial market are proved feasible and effective.

Key words: financial time series, innovation outliers, informational criterion

CLC Number: