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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

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161322483644 · Jun 202019922001200920172026
48 results for Time series forecasting

This paper improves forecasts for diverse time series by averaging similar ones.

problem Forecasting challenges in heterogeneous time series.
method Dynamic Time Warping to find similar time series, k-Nearest Neighbor averaging.
result Averaging improves forecasts of simple models.

Proposes a neural network for accurate and reconciled hierarchical time series forecasting.

problem Forecasting and reconciling hierarchical time series data.
method Uses a deep neural network to directly produce accurate and reconciled forecasts, minimizing a customized loss function at training time.
result Our approach outperforms state-of-the-art competitors in hierarchical forecasting on real-world datasets.

Improved prediction of hierarchical time series using structured regularization.

problem Making coherent forecasts for hierarchical time series.
method Structured regularization method for bottom-level time series predictions.
result Superior prediction accuracy and computational efficiency compared to previous methods.

MPPN network improves long-term time series forecasting accuracy.

problem Inaccurate long-term time series forecasting due to noise and lack of interpretability.
method MPPN network constructs context-aware multi-resolution semantic units and employs multi-periodic pattern mining and channel adaptive module.
result MPPN significantly outperforms state-of-the-art methods on nine real-world benchmarks.

Feature-based time series representations have attracted substantial attention in a wide range of time series analysis methods. Recently, the use of time series features for forecast model averaging has been an emerging research focus in the forecasting community. Nonetheless, most of the existing approaches depend on …

2019-04-17abs ↗pdf ↗

A method to improve time series forecasting by dynamically adjusting weights of forecasters.

problem Challenges in time series forecasting due to evolving data distributions.
method Dynamic re-weighting of forecasters based on evolving data distributions.
result Competitive performance compared to state-of-the-art methods for combining forecasters.

CATS enhances MTSF by generating ATS from OTS to improve forecasting accuracy.

problem Recent deep learning models often outperform multivariate ones in MTSF.
method CATS constructs ATS from OTS using a 2D temporal-contextual attention mechanism.
result CATS achieves state-of-the-art performance with reduced complexity.

Meta-GLAR combines global deep representations with local adaptation for improved forecasting accuracy.

problem Joint learning from related time series boosts accuracy but fails for out-of-sample forecasting.
method Meta-GLAR uses a meta-learning approach to adapt RNN representations for each time series.
result Meta-GLAR outperforms state-of-the-art methods in out-of-sample forecasting accuracy.

Optimal model selection for forecasting large collections of short time series using latent space.

problem Challenges in choosing among multiple forecasting methods for large, high-dimensional time series with limited data.
method Combining low-rank temporal matrix factorization with optimal model selection using cross-validation.
result Forecasting latent factors leads to significant performance gains compared to direct uni-variate model application.

Global models outperform univariate benchmarks in complex time series forecasting.

problem Comparing global forecasting models to univariate benchmarks in various challenging scenarios.
method Simulated datasets with controlled characteristics, including homogeneity, complexity, and series lengths. Global forecasting models (RNN, LGBM) compared to univariate techniques.
result Global models like RNN and LGBM are competitive in complex scenarios with short series lengths and heterogeneous data.

SPADE-S improves time series forecasting accuracy for low-magnitude and sparse data.

problem Challenges in forecasting time series with strong heterogeneity in magnitude and sparsity.
method SPADE-S is a robust forecasting architecture that reduces biases and improves overall prediction accuracy.
result SPADE-S outperforms existing state-of-the-art approaches across diverse use cases, improving forecast accuracy by up to 15%.

Study forecasts stock returns on JSE using SGDLMs capturing cross-series dependencies.

problem Accurate forecasting of multivariate time series data.
method Simultaneous Graphical Dynamic Linear Models (SGDLMs) with customised DLMs and importance sampling/mean-field variational Bayes.
result SGDLMs accurately forecast stock data on JSE and respond to market changes.

Time series modeling and forecasting has fundamental importance to various practical domains. Thus a lot of active research works is going on in this subject during several years. Many important models have been proposed in literature for improving the accuracy and effectiveness of time series forecasting. The aim of t…

2013-02-26abs ↗pdf ↗

Deep state space model forecasts time series with uncertainty.

problem Probabilistic forecasting for risk management.
method Parameterized deep networks for non-linear models, recurrent neural nets for dependency, ARD network for exogenous variables.
result Accurate and sharp probabilistic forecasts with realistic uncertainty growth.

Global models outperform local models in forecasting intermittent time series.

problem Forecasting intermittent time series with zeros in supply chains.
method Comparison of state-of-the-art probabilistic local and global models on five datasets.
result TiDE, a simple neural network architecture, achieves the best accuracy among global models.

Meta-learning predicts optimal ensemble size and methods for time series forecasting.

problem Finding the best ensemble of time series forecasting methods.
method Two-step approach using meta-learning to predict ensemble size and methods.
result Meta-learning outperformed benchmarks in forecasting errors for all data types and horizons.

Paper proposes a new method for selecting the best hierarchical forecasting approach.

problem Selecting the best method for reconciling base forecasts in hierarchical time series.
method Conditional hierarchical forecasting using machine learning and time series features.
result Conditional hierarchical forecasting leads to significantly more accurate forecasts, especially at lower levels.

Graph Neural Networks improve financial time series forecasting accuracy.

problem Forecasting univariate financial time series with statistical significance.
method Introducing the Time-Geometric model combining geometric and temporal patterns.
result Statistically significant improvements in forecasting accuracy through geometric patterns.

The paper introduces a fast algorithm for learning and forecasting nonlinear dynamics from noisy time series data.

problem Challenges in capturing nonlinear dynamics from noisy time series data.
method A projected nonlinear state-space model with kernel functions applied to projected lines.
result The model effectively learns and forecasts complex nonlinear dynamics with computational efficiency.

This paper presents a time series forecasting framework which combines standard forecasting methods and a machine learning model. The inputs to the machine learning model are not lagged values or regular time series features, but instead forecasts produced by standard methods. The machine learning model can be either a…

2020-01-14abs ↗pdf ↗

Symbolic LSTM improves time series forecasting by reducing hyperparameter sensitivity.

problem High sensitivity to hyperparameters and random initialization in numerical time series forecasting.
method Combining LSTM with a dimension-reducing symbolic representation.
result Symbolic representation alleviates forecasting problems and speeds up training.

An ensemble of randomized NNs improves time series forecasting accuracy.

problem Forecasting time series with multiple seasonality and nonstationarity.
method Randomized neural networks with pattern-based time series representation and diversity control strategies.
result Outperforms statistical and machine learning models in forecasting accuracy.

Self-guiding diffusion models improve time series forecasting, refinement, and generation.

problem Improving time series forecasting, refinement, and generation.
method Unconditionally-trained diffusion model with self-guidance mechanism.
result TSDiff outperforms task-specific conditional forecasting methods and maintains generative performance.

The study uses Gaussian Processes with Tweedie likelihood for forecasting intermittent time series.

problem Forecasting intermittent time series with high accuracy and flexibility.
method The approach combines Gaussian Processes with two forecast distributions: negative binomial and Tweedie.
result TweedieGP provides better probabilistic forecasts, especially for high quantiles.

MegazordNet combines stats and ML for better financial time series forecasting.

problem Forecasting financial time series is challenging due to its chaotic nature.
method MegazordNet integrates statistical features with a deep learning model.
result MegazordNet outperforms single statistical and machine learning methods in S&P 500 stock price prediction.

Chronos models improve financial forecasting by integrating multivariate data.

problem Improving financial forecasting accuracy using multivariate data.
method Evaluation of Chronos-2 on multivariate and univariate financial forecasting models.
result Multivariate forecasts consistently outperform univariate forecasts, especially for interest rates.

Two new methods improve forecasting of functional time series data.

problem Forecasting of functional time-dependent data.
method Functional Singular Spectrum Analysis (FSFA) based forecasting methods.
result Our methods outperform existing algorithms for periodic stochastic processes.

FinZero improves financial time series forecasting accuracy with multimodal modeling.

problem Lack of interpretability, uncertainty, and scalability in financial time series forecasting.
method Developed a multimodal pre-trained model FinZero using UARPO method for reasoning, prediction, and uncertainty analysis.
result FinZero achieves an approximate 13.48% improvement in prediction accuracy over GPT-4o in high-confidence group.

New RNN model forecasts unseen time series with little training data.

problem Lack of data for RNNs to generalize well in time series forecasting.
method Proposes a novel RNN-based model that learns shared feature embeddings over quantised time series.
result Accurately forecasts unseen time series with minimal training data.

Unified deep learning approach for time series forecasting using VMD-CNN-LSTM.

problem Time series forecasting problem.
method Proposes a unified deep learning approach with decomposition-reconstruction-ensemble framework using VMD-CNN-LSTM.
result The proposed approach outperforms benchmark approaches in forecasting accuracy.