Anomaly Detection on Market Regime and Cross-sectional Shock Simulations
77.17F1 ScoreReGEN-TAD
Evaluation results
| Method | Links | |||||
|---|---|---|---|---|---|---|
| ReGEN-TADRuntime (s)=12.38282026.03 | 77.17 | 96.84 | 64.27 | 97.04 | 0.18 | |
| OLSRuntime (s)=4.44572026.03 | 66.38 | 76.36 | 64.99 | 97.47 | 0.44 | |
| RRRRuntime (s)=5.08032026.03 | 61.65 | 71.97 | 60.48 | 93.64 | 0.4 | |
| TranADRuntime (s)=4.49062026.03 | 56.12 | 70.1 | 57.21 | 79.77 | 1.46 | |
| TimeGPTRuntime (s)=3.88872026.03 | 53.07 | 77.95 | 43.48 | 71.32 | 0.84 | |
| GARCHRuntime (s)=0.01172026.03 | 49.05 | 56.9 | 48.74 | 78.4 | 2.92 | |
| AlioghliOkayRuntime (s)=3.48012026.03 | 37.55 | 49.21 | 36.23 | 87.66 | 0.23 | |
| DAGMMRuntime (s)=1.12852026.03 | 35.89 | 49.59 | 33.4 | 76.97 | 1.51 | |
| DeepAntRuntime (s)=2.25012026.03 | 32.98 | 47.55 | 29.57 | 88.24 | 0.09 | |
| IForestRuntime (s)=0.12502026.03 | 29.16 | 34.6 | 29.23 | 80.28 | 1.43 | |
| TGAN-ADRuntime (s)=8.32572026.03 | 28.78 | 38.56 | 26.71 | 66.94 | 1.83 |