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Financial Time-Series Foundations

10 algorithms in Financial Mathematics, Statistics, and Data Foundations · 10 with asserted arithmetic.

In this family#

  1. Time Order, Frequency, Regularity, and Financial Calendars verified

    timeOrderFrequencyRegularityAndFinancialCalendars(input)
  2. Levels, Changes, Differences, and Returns verified

    levelsChangesDifferencesAndReturns(input)
  3. Lags, Leads, and Temporal Dependence verified

    lagsLeadsAndTemporalDependence(input)
  4. Rolling and Expanding Windows verified

    rollingAndExpandingWindows(input)
  5. Resampling, Aggregation, and Time Alignment verified

    resamplingAggregationAndTimeAlignment(input)
  6. Trend, Seasonality, Cycles, and Remainder verified

    trendSeasonalityCyclesAndRemainder(input)
  7. Autocovariance and Autocorrelation verified

    autocovarianceAndAutocorrelation(input)
  8. Stationarity and Differencing Intuition verified

    stationarityAndDifferencingIntuition(input)
  9. Smoothing, Baselines, and Naive Forecasts verified

    smoothingBaselinesAndNaiveForecasts(input)
  10. Look-Ahead Leakage and Time-Aware Data Splits verified

    lookAheadLeakageAndTimeAwareDataSplits(input)

What they share#

Every topic here is a record-transform, so once you have called one the rest follow the same shape. Import paths differ only in the final segment:

ts
import { timeOrderFrequencyRegularityAndFinancialCalendars } from "fintech-algorithms/financial-mathematics-statistics-and-data-foundations/financial-time-series-foundations/time-order-frequency-regularity-and-financial-calendars";
import { levelsChangesDifferencesAndReturns } from "fintech-algorithms/financial-mathematics-statistics-and-data-foundations/financial-time-series-foundations/levels-changes-differences-and-returns";

Read them in the order above — the sequence is pedagogical, not alphabetical.

Where this sits#

Financial Mathematics, Statistics, and Data Foundations collects 120 algorithms across 12 families. For the concept behind this family rather than the call signatures, see the concept guides.