CPD Events

Detecting And Predicting Price Jumps With Mahalanobis Distance And Signatures

11 Sep 2024

About the event

We observe that while these problems are clearly different; the former can be reformulated in terms of the latter and we can therefore associate jump indicators to data driven metrics for anomaly detection. We propose a three-step process: 1) jump detection: we combine the Mahalanobis distance with path signatures to come up with a data-driven jump indicator; 2) training: we use this M-distance jump indicator as an input feature for Jump Models; 3) prediction: we use new incoming data to predict its hidden state.

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Fitch Learning

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Fitch Learning

Fitch Learning

Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and conduct. Fitch Learning is a global leader in training with experience of delivering specialised technical training at all levels to the financial community. Fitch Learning partner with clients to elevate knowledge and skills and enhance conduct. We work with 9 out of 10 of each of the largest Investment Banks, Asset Managers and Global Banks and through state-of-the-art training centres in London, New York, Hong Kong, Singapore and Dubai, and our leading distance learning portals, we train more than 20,000 delegates each year.

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