Yu Lu

FreqCast: Frequency-Decoupled Statistical and Deep Learning for Multihorizon Return Forecasting and Price Reconstruction

This study forecasts cumulative log returns at horizons of one to twenty trading days and reconstructs future adjusted prices by exponentiating those return forecasts; it does not optimize a price-level loss. This task is difficult because financial returns are nonstationary, heavy-tailed, horizon-dependent, and subjec...