OFTER: An Online Pipeline for Time Series Forecasting
This work provides an incremental improvement for financial applications like daily equity forecasting, offering a scalable and interpretable alternative to deep learning methods.
The authors tackled multivariate time series forecasting for mid-sized datasets by introducing OFTER, an online pipeline that integrates k-nearest neighbors and Generalized Regression Neural Networks with dimensionality reduction, and it outperformed several state-of-the-art baselines.
We introduce OFTER, a time series forecasting pipeline tailored for 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.