Yan Zhang

Bloomberg LP

731 Lexington Ave

New York, NY 10022

United States

SCHOLARLY PAPERS

5

DOWNLOADS

767

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (5)

1.

Big Data's Dirty Secret

Number of pages: 26 Posted: 11 Jul 2018
Harvey J. Stein and Yan Zhang
Bloomberg L.P. and Bloomberg LP
Downloads 415 (72,728)

Abstract:

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Data cleaning, big data, machine learning, SSA, MSSA, PCA, Data science, outlier detection, anomaly detection

2.

Cleaning Financial Data Using SSA and MSSA

Number of pages: 30 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Downloads 139 (216,327)
Citation 4

Abstract:

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cleaning time series, Multi-Channel Singular Spectrum Analysis, MSSA, filling data gaps, removing unphysical spikes, correlations, lagged correlations, autocorrelations

3.

Data Spike Cleaning with MSSA

Number of pages: 16 Posted: 20 Jul 2016 Last Revised: 11 Nov 2016
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Downloads 95 (284,885)
Citation 2

Abstract:

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Unphysical Spikes, Multiple Singular Spectrum Analysis, MSSA, Detecting, Fixing

4.

Cleaning Data with Real-World Updating Using MSSA

Number of pages: 14 Posted: 20 Jul 2016
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Downloads 74 (331,665)

Abstract:

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Data Cleaning, Problematic Data, MSSA, Real-Time Historical Simulation

5.

MSSA vs. Multivariate Regularized Expectation Maximization for Data Cleaning

Number of pages: 22 Posted: 20 Jul 2016
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Downloads 44 (425,054)

Abstract:

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Data Cleaning, SSA, MSSA, M-REM, Multivariate Regularized Expectation Maximization