Summary
In this chapter, we have learned how to preprocess financial time series data. We started by showing how to calculate returns and potentially adjust them for inflation. Then, we covered a few of the popular methods for imputing missing values. Lastly, we explained the different approaches to aggregating trade data and why choosing the correct one matters.
We should always pay significant attention to this step, as we not only want to enhance our model’s performance but also to ensure the validity of any analysis. In the next chapter, we will continue working with the preprocessed data and learn how to create time series visualization.
