Fast Times, Slow Times: Timescale Separation in Financial Timeseries Data

By Jan Rosenzweig

Published 2026-01-16

Everscope rating

1592.5

Relevance to quantitative trading

8 / 10

Implementation complexity

5 / 10

Reproducibility

3 / 5

About this paper

Methodology: Timescale Separation via Generalized Eigenvalue Problems (tICA). Problem types: Dimensionality Reduction, Risk Management, Time Series Forecasting, Unsupervised Learning.

arXiv:2601.11201 · Paper rankings

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