An Explainable Estimation Model for Financial Time Series

Abstract

Recent developments in artificial intelligence have led to powerful machine learning approaches to model fluctuating dynamics in financial time series, even in the presence of non-stationary behavior. However, such methods often suffer from limited interpretability while uncertainty, arising from complex data fluctuations, remains difficult to quantify. We present a method that decomposes financial data into different frequency components and trends, thereby enabling explicit identification of cyclical patterns and long-term trends. Concurrently, noise components are separated from signal components. Its effectiveness and its high predictive accuracy have been demonstrated in the interpretation of some financial time series.