pythonpapertime-seriesautoformertransformerafter-work
Introducing Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecasting for after-work quants
Wu, Xu, Wang and Long (NeurIPS 2021) put moving-average decomposition inside the Transformer and replace point-wise attention with FFT Auto-Correlation (O(L log L)). ~38% average MSE drop vs Informer/LogTrans on energy, traffic, FX, weather, ILI. Plain-language intro. Not investment advice.