Data Spike Cleaning with MSSA

16 Pages Posted: 20 Jul 2016 Last revised: 11 Nov 2016

See all articles by Jan Dash

Jan Dash

Fordham University; Bloomberg LP

Yan Zhang

Bloomberg LP

Date Written: November 11, 2016

Abstract

This paper introduces a powerful method for detecting and fixing unphysical spikes in time series. The method utilizes Multiple Singular Spectrum Analysis (MSSA) to define local market trends used to identify outlier data spikes that are not caused by market movements, and then effectively correct the spikes. Various refinements for spike identification are proposed. This work extends previous work using MSSA to fill gaps or holes in time series.

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

JEL Classification: C1, C14, C22, C63, E44, F65, G1, Y1

Suggested Citation

Dash, Jan and Zhang, Yan, Data Spike Cleaning with MSSA (November 11, 2016). Available at SSRN: https://ssrn.com/abstract=2811696 or http://dx.doi.org/10.2139/ssrn.2811696

Jan Dash (Contact Author)

Fordham University ( email )

113 W. 60th St
New York, NY 10023
United States

Bloomberg LP ( email )

731 Lexington Ave
New York, NY 10022
United States

Yan Zhang

Bloomberg LP ( email )

731 Lexington Ave
New York, NY 10022
United States

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