FinTSB: A Comprehensive and Practical Benchmark for Financial Time Series Forecasting

📰 News

🌟 Overview

🛠 Prerequisites

pip install -r requirements.txt

📊 Prepare Datastes

FinTSB
└── extreme
 └── dataset_1.pkl
 └── dataset_2.pkl
 └── dataset_3.pkl
 └── dataset_4.pkl
 └── dataset_5.pkl
└── fall
 └── dataset_1.pkl
 └── dataset_2.pkl
 └── dataset_3.pkl
 └── dataset_4.pkl
 └── dataset_5.pkl
└── fluctuation
 └── dataset_1.pkl
 └── dataset_2.pkl
 └── dataset_3.pkl
 └── dataset_4.pkl
 └── dataset_5.pkl
└── rise
 └── dataset_1.pkl
 └── dataset_2.pkl
 └── dataset_3.pkl
 └── dataset_4.pkl
 └── dataset_5.pkl

💻 Training Pipline

python train.py --config_file configs/config_lstm.yaml

📚 Citation

@article{hu2025fintsb,
 title={FinTSB: A Comprehensive and Practical Benchmark for Financial Time Series Forecasting}, 
 author={Yifan Hu and Yuante Li and Peiyuan Liu and Yuxia Zhu and Naiqi Li and Tao Dai and Shu-tao Xia and Dawei Cheng and Changjun Jiang},
 journal={arXiv preprint arXiv:2502.18834},
 year={2025},
}
@article{hu2025finmamba,
 title={FinMamba: Market-Aware Graph Enhanced Multi-Level Mamba for Stock Movement Prediction}, 
 author={Hu, Yifan and Liu, Peiyuan and Li, Yuante and Cheng, Dawei and Li, Naiqi and Dai, Tao and Bao, Jigang and Xia Shu-Tao},
 journal={arXiv preprint arXiv:2502.06707},
 year={2025}
}
@inproceedings{
hu2025timefilter,
title={TimeFilter: Patch-Specific Spatial-Temporal Graph Filtration for Time Series Forecasting},
author={Yifan Hu and Guibin Zhang and Peiyuan Liu and Disen Lan and Naiqi Li and Dawei Cheng and Tao Dai and Shu-Tao Xia and Shirui Pan},
booktitle={Forty-second International Conference on Machine Learning},
year={2025},
url={https://openreview.net/forum?id=490VcNtjh7}
}
@inproceedings{hu2025adaptive,
 title={Adaptive Multi-Scale Decomposition Framework for Time Series Forecasting},
 author={Hu, Yifan and Liu, Peiyuan and Zhu, Peng and Cheng, Dawei and Dai, Tao},
 booktitle={Proceedings of the AAAI Conference on Artificial Intelligence},
 year={2025}
}
@inproceedings{bian2024multi,
 title={Multi-patch prediction: adapting language models for time series representation learning},
 author={Bian, Yuxuan and Ju, Xuan and Li, Jiangtong and Xu, Zhijian and Cheng, Dawei and Xu, Qiang},
 booktitle={Forty-first International Conference on Machine Learning},
 year={2024}
}

🙏 Acknowledgement

All thanks to contributors.

Special thanks to the following repositories for their invaluable code and datasets:

📩 Contact