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Haskell Financial Data Modeling and Predictive Analytics by Pavel Ryzhov

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Outlier detection

Market data are not always clean, and in most cases one should verify the correctness and validity of the data. Though many obvious checks (such as positive price) can be easily implemented, some advanced algorithm should be used to identify an outlier. For our purposes, outlier is a price that appears to deviate significantly from other prices. It might be quite hard to quantify what "significant deviation" means. Here we take the simplest of statistical approaches and assume that prices are normally distributed, though it is not a correct assumption. Under this assumption it is possible to establish a quite simple test based on mean and standard deviation.

Essential mathematical packages

Though the basics of mathematics and ...

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