Engineering Alpha

Engineering Alpha

Zigzaging Our Way Through Time Series Regression

Forecasting Market Structure with a Causal ZigZag: A Research Experiment

Sofien Kaabar, CFA's avatar
Sofien Kaabar, CFA
Mar 17, 2026
∙ Paid

Financial markets are often modeled as noisy systems where prices evolve in ways that are difficult to predict directly. A common challenge in quantitative finance is that raw price series are extremely noisy, making traditional predictive models struggle to identify meaningful structure.

One approach to address this problem is to transform the price ser…

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