Class AnomalyDetector

java.lang.Object

com.quantfinlib.ml.AnomalyDetector

public final class AnomalyDetector
extends Object

Surveillance anomaly detection over interval-aggregated market activity:

• Quote stuffing — message-rate spikes (robust z-score) combined with an abnormal order-to-trade ratio: lots of quoting, little trading.
• Price spikes — interval returns far outside their recent distribution.

Scores are ROBUST z-scores — (x − median) / (1.4826 · MAD) — not mean/stdev: an anomaly detector whose baseline includes the anomalies inflates its own scale and misses exactly the events it hunts (a storm of stuffing intervals raises the stdev until nothing clears the threshold). Median/MAD ignores up to half the sample being contaminated; 1.4826 rescales MAD to stdev units under normality so thresholds keep their familiar sigma meaning. When MAD is 0 (more than half the intervals identical) the detector falls back to mean/stdev, and gives up only when that is 0 too.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	AnomalyDetector.Anomaly

Field Summary

Fields

Modifier and Type	Field	Description
static final String	PRICE_SPIKE
static final String	QUOTE_STUFFING

Method Summary

Modifier and Type	Method	Description
static List<AnomalyDetector.Anomaly>	detectPriceSpikes(double[] mids, double zThreshold)	Flags intervals whose return is a zThreshold-sigma outlier.
static List<AnomalyDetector.Anomaly>	detectQuoteStuffing(long[] messagesPerInterval, long[] tradesPerInterval, double zThreshold, double minOrderToTradeRatio)	Flags intervals where the message count is a zThreshold-sigma outlier AND the order-to-trade ratio exceeds minOrderToTradeRatio.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Details

QUOTE_STUFFING

public static final String QUOTE_STUFFING

See Also:

• Constant Field Values

PRICE_SPIKE

public static final String PRICE_SPIKE

See Also:

• Constant Field Values

Method Details

detectQuoteStuffing

public static List<AnomalyDetector.Anomaly> detectQuoteStuffing(long[] messagesPerInterval,
 long[] tradesPerInterval,
 double zThreshold,
 double minOrderToTradeRatio)

Flags intervals where the message count is a zThreshold-sigma outlier AND the order-to-trade ratio exceeds minOrderToTradeRatio.

Parameters:

messagesPerInterval - order/cancel/replace message counts per interval

tradesPerInterval - trade counts per interval (aligned)

detectPriceSpikes

public static List<AnomalyDetector.Anomaly> detectPriceSpikes(double[] mids,
 double zThreshold)

Flags intervals whose return is a zThreshold-sigma outlier.