Online forecasting for financial time series.

Authors

Nikolas Michael, Mihai Cucuringu, Sam Howison

Published in

International journal of data science and analytics. Volume 22. Issue 1. Pages 344. Epub Oct 16, 2026.

Abstract

We introduce OFTER (online forecasting via temporal embedding regression), a time series forecasting pipeline tailored for financial problems centered on mid-sized multivariate time series. OFTER utilizes the non-parametric models of k-nearest neighbors and generalized regression neural networks, integrated with a dimensionality reduction component. To circumvent the curse of dimensionality, we employ a weighted norm based on a modified version of the maximal correlation coefficient. The pipeline we introduce is specifically designed for online tasks, has an interpretable output, and is able to outperform several state-of-the-art baselines. The computational efficacy of the algorithm, its online nature, and its ability to operate in low signal-to-noise regimes, render OFTER an ideal approach for financial multivariate time series problems, such as daily equity forecasting. Our work demonstrates that while deep learning models hold significant promise for time series forecasting, traditional methods carefully integrating mainstream tools remain very competitive alternatives with the added benefits of scalability and interpretability.

PMID:
42892820
Bibliographic data and abstract were imported from PubMed on 18 Oct 2026.

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