High Frequency Time Series Forecasting
Arnaud Trebaol
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High Frequency Time Series Forecasting

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Time series are a special form of data where past values in the series may influence future values, depending on the presence of underlying deterministic forces. These forces may be characterised by trends, cycles and nonstationary behaviour in the time series and predictive models attempt to recognise the recurring patterns and more particularly potential linear or nonlinear relationships between past and actual values, or with other exogenous variables which may be linked to the variable studied. Time series forecasting is the use of a model to forecast future time series values based on kno...