Anomaly detection is a challenging task, particularly in systems with many variables. Anomalies are outliers that statistically differ from the analyzed data and can arise from rare events, malfunctions, or system misuse. This study investigated the ability to detect anomalies in global financial markets through Graph Neural Networks (GNN) considering an uncertainty scenario measured by a nonextensive entropy. The main findings show that the complex structure of highly correlated assets decreases in a crisis, and the number of anomalies is statistically different for nonextensive entropy parameters considering before, during, and after crisis.
@article{arxiv.2308.02914,
title = {Anomaly Detection in Global Financial Markets with Graph Neural Networks and Nonextensive Entropy},
author = {Kleyton da Costa},
journal= {arXiv preprint arXiv:2308.02914},
year = {2023}
}