Fourier Transform Foundations intermediate
A finite time series can be rewritten exactly as a combination of cycles; the frequency-domain view is often the clearest way to see periodic structure, but it is easy to misuse in non-stationary financial data.
A finite time series can be rewritten exactly as a combination of cycles; the frequency-domain view is often the clearest way to see periodic structure, but it is easy to misuse in non-stationary financial data.
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References
Empirical properties of asset returns: stylized facts and statistical issues
R. Cont
(2001)
— Quantitative Finance
N-BEATS: Neural basis expansion analysis for interpretable time series forecasting
Boris N. Oreshkin, Dmitri Carpov, Nicolas Chapados, Yoshua Bengio
(2019)
From Pixels to Predictions: Spectrogram and Vision Transformer for Better Time Series Forecasting
Zhen Zeng, Rachneet Kaur, Suchetha Siddagangappa, Tucker Balch, Manuela Veloso
(2024)