相关论文: Financial time-series analysis: A brief overview

We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather…

Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…

This work presents an introduction to feature-based time-series analysis. The time series as a data type is first described, along with an overview of the interdisciplinary time-series analysis literature. I then summarize the range of…

New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of…

This article studies the financial time series data processing for machine learning. It introduces the most frequent scaling methods, then compares the resulting stationarity and preservation of useful information for trend forecasting. It…

Time reversal invariance can be summarized as follows: no difference can be measured if a sequence of events is run forward or backward in time. Because price time series are dominated by a randomness that hides possible structures and…

Time series models, typically trained on numerical data, are designed to forecast future values. These models often rely on weighted averaging techniques over time intervals. However, real-world time series data is seldom isolated and is…

The continuous advances in data collection and storage techniques allow us to observe and record real-life processes in great detail. Examples include financial transaction data, fMRI images, satellite photos, earths pollution distribution…

We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g.…

Large models have shown unprecedented capabilities in natural language processing, image generation, and most recently, time series forecasting. This leads us to ask the question: treating market prices as a time series, can large models be…

Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that…

For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…

A symmetry-guided definition of time may enhance and simplify the analysis of historical series with recurrent patterns and seasonalities. By enforcing simple-scaling and stationarity of the distributions of returns, we identify a…

A few characteristic exponents describing power law behaviors of roughness, coherence and persistence in stochastic time series are compared to each other. Relevant techniques for analyzing such time series are recalled in order to…

Time series are ubiquitous in our data rich world. In what follows I will describe how ideas from dynamical systems and topological data analysis can be combined to gain insights from time-varying data. We will see several applications to…

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,…

Temporal data are ubiquitous in the financial services (FS) industry -- traditional data like economic indicators, operational data such as bank account transactions, and modern data sources like website clickstreams -- all of these occur…

Financial time series forecasting is central to trading, portfolio optimization, and risk management, yet it remains challenging due to noisy, non-stationary, and heterogeneous data. Recent advances in time series foundation models (TSFMs),…

A property of data which is common across a wide range of instruments, markets and time periods is known as stylized empirical fact in the financial statistics literature. This paper first presents a wide range of stylized facts studied in…

We investigate sets of financial non-redundant and nonsynchronously recorded time series. The sets are composed by a number of stock market indices located all over the world in five continents. By properly selecting the time horizon of…