English

Fast Times, Slow Times: Timescale Separation in Financial Timeseries Data

Portfolio Management 2026-01-19 v1 Computational Finance Risk Management Statistical Finance Trading and Market Microstructure

Abstract

Financial time series exhibit multiscale behavior, with interaction between multiple processes operating on different timescales. This paper introduces a method for separating these processes using variance and tail stationarity criteria, framed as generalized eigenvalue problems. The approach allows for the identification of slow and fast components in asset returns and prices, with applications to parameter drift, mean reversion, and tail risk management. Empirical examples using currencies, equity ETFs and treasury yields illustrate the practical utility of the method.

Keywords

Cite

@article{arxiv.2601.11201,
  title  = {Fast Times, Slow Times: Timescale Separation in Financial Timeseries Data},
  author = {Jan Rosenzweig},
  journal= {arXiv preprint arXiv:2601.11201},
  year   = {2026}
}