Online forecasting for financial time series

Journal article

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.

Authors: Michael, N; Cucuringu, M; Howison, S

• Publication status: Published
• Peer review status: Peer reviewed
• Publisher: Springer
• Journal: International Journal of Data Science and Analytics More from this journal
• Volume: 22
• Issue: 1
• Pages: 344-344
• Publication date: 2026-10-16
• Acceptance date: 2026-09-11
• DOI: 10.1007/s41060-026-01302-7
• EISSN: 2364-4168
• ISSN: 2364-415X
• Language: English
• Keywords: interpretable forecasting; generalized regression neural network; k-nearest neighbors; online prediction; dimensionality reduction; weighted norms; multivariate time series; curse of dimensionality; financial time series