## Application of the Wavelet based Multi-Fractal for Outlier Detection in Financial High-Frequency Time Series Data

- Zhang Wei, Liu Bo, Zhang Xiao Tao, Xiong Xiong, Kou Yue
- 2006 IEEE International Conference on Engineering…
- 2006

Highly Influenced

@inproceedings{Struzik2000RAPPORTOD, title={RAPPORT Outlier Detection and Localisation with Wavelet Based Multifractal Formalism}, author={Zbigniew R. Struzik and Arno Siebes}, year={2000} }

- Published 2000

We p resent a method of detecting and localising outliers in stochastic processes. The method checks the internal consistency of the scaling behaviour of the process within the paradigm of the multifractal spectrum. Deviation from the expected spectrum is interpreted as the potential presence of outliers. The detection part of the method is then supplemented by the localisation analysis part, using the local scaling properties of the time series. Localised outliers can then be removed one by… CONTINUE READING