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TimesFM: Time Series Foundation Model for time-series forecasting

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Re: TimesFM: Time Series Foundation Model for time-series forecasting

#61
post #46

On a related note, Amazon also had a model for time series forecasting called Chronos. https://github.com/amazon-science/chronos-forecasting

And like all deep learning forecasting models thus far, it makes for a nice paper but is not worth anyone using for a real problem. Much slower than the classical methods it fails to beat.

That’s what people said about CV models in 2011.

Re: TimesFM: Time Series Foundation Model for time-series forecasting

#62
post #27
post #25

Earlier quoted context omitted.

What do you mean by “observability”?

Telemetry. Dashboards. The application is knowing when a signal is anomalous. https://en.wikipedia.org/wiki/Observability_(software)

Depending on how stable your signal is, I've had good experience with seasonal ARIMA and LOESS (but it's not neural networks)

Re: TimesFM: Time Series Foundation Model for time-series forecasting

#63
post #51

I'm curious why we seem convinced that this is a task that is possible or something worthy of investigation. I've worked on language models since 2018, even then it was obvious why language was a useful and transferable task. I do not at all feel the same way about general univariate time series that could have any underlying process.

> I'm curious why we seem convinced that this is a task that is possible or something worthy of investigation. There's a huge industry around time series forecasting used for all kinds of things like engineering, finance, climate science, etc. and many of the modern ones incorporate some kind of machine learning because they deal with very high dimensional data. Given the very surprising success of LLMs in non-langua…

Task specific time series models, not time series “foundation models” - we are discussing different things.

Re: TimesFM: Time Series Foundation Model for time-series forecasting

#64
post #61

Earlier quoted context omitted.

And like all deep learning forecasting models thus far, it makes for a nice paper but is not worth anyone using for a real problem. Much slower than the classical methods it fails to beat.

That’s what people said about CV models in 2011.

That's fair, but they stopped saying it about CV models in 2012. We've been saying this about foundational forecasting models since...2019 at least, probably earlier. But it is a harder problem!

Re: TimesFM: Time Series Foundation Model for time-series forecasting

#65
post #58

I'm curious why we seem convinced that this is a task that is possible or something worthy of investigation. I've worked on language models since 2018, even then it was obvious why language was a useful and transferable task. I do not at all feel the same way about general univariate time series that could have any underlying process.

Fundamentally, the pre-trained model would need to learn a "world model" to predict well in distinct domains. This should be possible not regarding compute requirements and the exact architecture. After all, the physical world (down to the subatomic level) is governed by physical laws. Ilya Sutskever from OpenAI stated that next-token prediction might be enough to learn a world model (see [1]). That would imply that…

But the data generating process could be literally anything. We are not constrained by physics in any real sense if we predicting financial markets or occurrences of a certain build error or termite behavior.

Re: TimesFM: Time Series Foundation Model for time-series forecasting

#66
post #58

Earlier quoted context omitted.

Fundamentally, the pre-trained model would need to learn a "world model" to predict well in distinct domains. This should be possible not regarding compute requirements and the exact architecture. After all, the physical world (down to the subatomic level) is governed by physical laws. Ilya Sutskever from OpenAI stated that next-token prediction might be enough to learn a world model (see [1]). That would imply that…

But the data generating process could be literally anything. We are not constrained by physics in any real sense if we predicting financial markets or occurrences of a certain build error or termite behavior.

Sure, there are limits. Not everything is predictable, not even physics. But that is also not the point of such a model. The goal is to forecast across a broad range of use cases that do have underlying laws. Similar to LLM, they could also be fine-tuned.

Re: TimesFM: Time Series Foundation Model for time-series forecasting

#67

Earlier quoted context omitted.

The next index fund should use AI. What could possibly go wrong?

I promise you your market-making counterparties already are.

What kind of things are they doing with AI?

Re: TimesFM: Time Series Foundation Model for time-series forecasting

#68

I'm curious why we seem convinced that this is a task that is possible or something worthy of investigation. I've worked on language models since 2018, even then it was obvious why language was a useful and transferable task. I do not at all feel the same way about general univariate time series that could have any underlying process.

There was a paper written a while back that proved mathematically how you can correlate any time series with any other time series, thus vaporizing any perception of value gained by correlating time series (at least for those people that read the paper.) just wanted to share

Re: TimesFM: Time Series Foundation Model for time-series forecasting

#69

Earlier quoted context omitted.

I promise you your market-making counterparties already are.

What kind of things are they doing with AI?

Predicting price movements, finding good hedges, etc.
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