Mathematical Finance & Financial Data Science Seminar

Anomaly Detection for Financial Time Series

Speaker: Michael Rabadi, quantPORT

Location: Warren Weaver Hall 1302

Date: Tuesday, November 26, 2019, 5:30 p.m.


Anomaly detection is process for automatically identifying unusual patterns in data. When applied effectively, anomaly detectors can add value throughout a company. In this talk, we will explore the applications of anomaly detection in financial setting. We will then discuss a specific time series anomaly detection algorithm and explore its properties, benefits and limitations.


Bio - Michael Rabadi
Michael Rabadi is the Head of Machine Learning at quantPORT, where he leads a team of researchers and engineers to discover and build machine learning algorithms for applications throughout the fund.