Implementation of Peaks-over-Threshold algorithms, including POT, Stream POT (SPOT), and SPOT with Drift (DSPOT).
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- Python
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peak-over-threshold
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Estimating Value at Risk (VaR) and Median Shortfall using Extreme Value Theory on daily simple returns of the NASDAQ Composite index.
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- Jupyter Notebook
In the presence of black swan events, an auto-encoder trained on normal data will fail to reconstruct them accurately, resulting in abnormally high residual errors. These errors can be modeled by POT to flag potential anomalous events or black swans.
- Updated
- Python
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