Mikhail Mew
1 min readJul 1, 2019

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Excellent article, in practice and literature integer differentiation(price return) is used more frequently than time differencing for financial asset price/index prediction tasks. Differencing is used more in econometrics in ARMA and ARIMA models but you highlight a very big pitfall for applying RNN/LSTM to financial time series data that people tend to ignore.

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Mikhail Mew

Researcher | Investor | Data Scientist | Curious Observer. Thoughts and insights from the confluence of investing and machine learning.