Time Series Foundation Models for Multivariate Financial Time Series Forecasting (2507.07296v1)

Abstract: Financial time series forecasting presents significant challenges due to complex nonlinear relationships, temporal dependencies, variable interdependencies and limited data availability, particularly for tasks involving low-frequency data, newly listed instruments, or emerging market assets. Time Series Foundation Models (TSFMs) offer a promising solution through pretraining on diverse time series corpora followed by task-specific adaptation. This study evaluates two TSFMs (Tiny Time Mixers (TTM) and Chronos) across three financial forecasting tasks: US 10-year Treasury yield changes, EUR/USD volatility, and equity spread prediction. Results demonstrate that TTM exhibits strong transferability. When fine-tuning both the pretrained version of TTM and an untrained model with the same architecture, the pretrained version achieved 25-50% better performance when fine-tuned on limited data and 15-30% improvements even when fine-tuned on lengthier datasets. Notably, TTM's zero-shot performance outperformed naive benchmarks in volatility forecasting and equity spread prediction, with the latter demonstrating that TSFMs can surpass traditional benchmark models without fine-tuning. The pretrained model consistently required 3-10 fewer years of data to achieve comparable performance levels compared to the untrained model, demonstrating significant sample-efficiency gains. However, while TTM outperformed naive baselines, traditional specialised models matched or exceeded its performance in two of three tasks, suggesting TSFMs prioritise breadth over task-specific optimisation. These findings indicate that TSFMs, though still nascent, offer substantial promise for financial forecasting-particularly in noisy, data-constrained tasks-but achieving competitive performance likely requires domain-specific pretraining and architectural refinements tailored to financial time series characteristics.