rolling-window finance anomaly detection
method,n_windows,window,step,n_assets,detected_windows,threshold,max_distance,radial_kurtosis
RegularizedCauchy,176,20,5,8,5,152.36606980024123,214.0264973740177,3.9770869272091005
top anomalous windows
rank,start_date,end_date,robust_distance
1,2020-09-03,2020-09-30,214.0264973740177
2,2020-08-27,2020-09-23,195.33176540660608
3,2020-09-10,2020-10-07,186.5938392771558
4,2022-09-01,2022-09-28,171.02390217029944
5,2022-08-25,2022-09-21,158.04725685375985
6,2020-08-20,2020-09-16,142.89742471104356
7,2021-08-05,2021-09-01,139.78449227022205
8,2021-08-12,2021-09-08,139.28137467369586
9,2020-12-03,2020-12-30,138.04402746304234
10,2022-09-08,2022-10-05,136.06979631136875
saved outputs to results/external/finance_rolling_window
