The Financial Time Series Forecasting Repository (FTSFR) is an open-source benchmark designed to enable standardized, "apples-to-apples" comparisons of time series forecasting methods on financial data. The project addresses a critical gap in quantitative finance research: until now, no comprehensive forecasting benchmark existed specifically for financial markets.
Resources:
- Working Paper: https://jeremybejarano.com/downloads/draft_ftsfr.pdf
- GitHub Repository: https://github.com/jmbejara/ftsfr
- Documentation: https://jeremybejarano.com/ftsfr/
- Simplified, separated repositories: https://github.com/ftsfr