We introduce a methodology from geophysics, Singular Spectrum Analysis (SSA), to obtain stable, noise-cleaned correlations for long term risk (e.g. counterparty risk). SSA is applied to time series to smooth them in a robust manner. The SSA-smoothed time series are then used to obtain the...

Data cleaning in the real world has to cope with new data arriving (or failing to arrive) as time passes, and which may be bad data. We illustrate MSSA data cleaning with a real-time historical simulation on some problematic data. The example also serves to determine some MSSA algorithm...

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...

We introduce a powerful method for cleaning time series - Multi-Channel Singular Spectrum Analysis (MSSA). “Cleaning” means filling data gaps and removing unphysical spikes, which are chronic problems. MSSA utilizes all available information in “time” and “space” with...