Extreme Value Analysis for Finite, Multivariate and Correlated Systems with Finance as an Example

By Benjamin Köhler, Anton J. Heckens, Thomas Guhr

Published 2026-09-16

Everscope rating

1823.8

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: Eigenbasis Rotation with Peaks-Over-Threshold Extreme Value Analysis. Problem types: Risk Management, Density Estimation, Dimensionality Reduction, Anomaly Detection.

arXiv:2603.05260 · Paper rankings

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