Time Series Analysis

How Fractional Differencing Revolutionized My Feature Engineering for Investment Strategies

• Fabio Capela
• Quantitative finance , Feature engineering , Machine learning , Systematic investing , Financial mathematics , Time series analysis , Advanced analytics , Algorithmic trading

As a theoretical physicist turned systematic investor, I’ve always been fascinated by the mathematical structures underlying financial markets. While most investors focus on price movements and traditional technical indicators, I discovered that the real edge comes from understanding the deeper statistical properties of market data—particularly how to extract meaningful features that preserve both trend information and stationarity.