Page45 International Journal of Research in Business and Social Science IJRBS ISSN: 2147-4478 Vol.4 No.4, 2015 www.ssbfnet.com/ojs Comparative Study of Outlier Detection Algorithms via Fundamental Analysis Variables: An Application on Firms Listed in Borsa Istanbul Senol Emir Corresponding Author: Asst. Prof., Faculty of Economics, Istanbul University, 34126 Beyazit, Istanbul, Turkey Hasan Dincer Assoc.Prof. of Finance, Istanbul Medipol University, School of Business and Management, Beykoz, 34810, Istanbul, Turkey Umit Hacioglu Assoc.Prof. of Finance, Istanbul Medipol University, School of Business and Management, Beykoz, 34810, Istanbul, Turkey Serhat Yuksel Asst.Prof. of Economics & Finance, Konya Food & Agriculture University, Faculty of Social Sciences and Humanities, Konya, Turkey Abstract In a data set, an outlier refers to a data point that is considerably different from the others. Detecting outliers provides useful application-specific insights and leads to choosing right prediction models. Outlier detection (also known as anomaly detection or novelty detection) has been studied in statistics and machine learning for a long time. It is an essential preprocessing step of data mining process. In this study, outlier detection step in the data mining process is applied for identifying the top 20 outlier firms. Three outlier detection algorithms are utilized using fundamental analysis variables of firms listed in Borsa Istanbul for the 2011-2014 period. The results of each algorithm are presented and compared. Findings show that 15 different firms are identified by three different outlier detection methods. KCHOL and SAHOL have the greatest number of appearances with 12 observations among these firms. By investigating the results, it is concluded that each of three algorithms makes different outlier firm lists due to differences in their approaches for outlier detection. Key Words: Outlier Detection, Fundamental Analysis, Stock Exchange, k-Nearest Neighbor (k-NN) Global Outlier Score, Histogram Based Outlier Score (HBOS), Robust Principal Component Analysis (rPCA) Outlier Score. JEL classification: G2