Essays about: "RRCF"

Found 1 essay containing the word RRCF.

  1. 1. Detecting anomalies in data streams driven by ajump-diffusion process

    University essay from Umeå universitet/Institutionen för fysik

    Author : Carl Paulin; [2021]
    Keywords : machine learning; ML; random forest; anomaly; detection; outlier; analysis; financial modelling; merton; jump-diffusion process; stochastic process; isolation forest; IF; robust random cut forest; RRCF;

    Abstract : Jump-diffusion processes often model financial time series as they can simulate the random jumps that they frequently exhibit. These jumps can be seen as anomalies and are essential for financial analysis and model building, making them vital to detect. READ MORE