Forecasting Financial Time Series through Causal and Dilated Convolutional Neural Networks

Entropy

Martin Singull¹  Lukas Börjesson¹ 

[1] Department of Mathematics, Linköping University, 581 83 Linköping, Sweden;

关键词: deep learning;    financial time series;    causal and dilated convolutional neural networks;   

DOI  :  10.3390/e22101094

来源: DOAJ

【 摘 要 】

In this paper, predictions of future price movements of a major American stock index were made by analyzing past movements of the same and other correlated indices. A model that has shown very good results in audio and speech generation was modified to suit the analysis of financial data and was then compared to a base model, restricted by assumptions made for an efficient market. The performance of any model, trained by looking at past observations, is heavily influenced by how the division of the data into train, validation and test sets is made. This is further exaggerated by the temporal structure of the financial data, which means that the causal relationship between the predictors and the response is dependent on time. The complexity of the financial system further increases the struggle to make accurate predictions, but the model suggested here was still able to outperform the naive base model by more than 20% and 37%, respectively, when predicting the next day’s closing price and the next day’s trend.

【 授权许可】

Unknown