Novelty Detection with One-Class Support Vector Machines

In this paper we apply one-class support vector machine (OC-SVM) to identify potential anomalies in financial time series. We view anomalies as deviations from a prevalent distribution which is the main source behind the original signal. We are interested in detecting changes in the distribution and the timing of the occurrence of the anomalous behaviour in financial time series. The algorithm is applied to synthetic and empirical data. We find that our approach detects changes in anomalous behaviour in synthetic data sets and in several empirical data sets. However, it requires further work to ensure a satisfactory level of consistency and theoretical rigour.