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.
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}
}