comparison of speech signal processing and financial data
Financial market trading data is thought to be fractal in dimension and thus not sufficiently band-limited before sampling.  So smaller windows might not have any effect on improving pseudo-stationarity.

Whereas the physical processes behind speech production are better understood and more physically limited (the rate of human muscle contractions controlling lung, larynx, and head cavity resonances, etc.), as well as the sound capture being low-pass filtered below typical human hearing thresholds before sampling above the Nyquist rate.