Non-stationary financial time series forecasting based on meta-learning

被引:2
|
作者
Hong, Anqi [1 ]
Gao, Minghan [2 ]
Gao, Qiang [1 ]
Peng, Xiao-Hong [3 ]
机构
[1] Beihang Univ, Sch Elect & Informat Engn, Beijing, Peoples R China
[2] Beijing Univ Posts & Telecommun, Sch Artificial Intelligence, Beijing, Peoples R China
[3] Birmingham City Univ, Fac Comp Engn & Built Environm, Birmingham, England
关键词
convolutional neural nets; economic forecasting; learning (artificial intelligence); neural nets; time series;
D O I
10.1049/ell2.12681
中图分类号
TM [电工技术]; TN [电子技术、通信技术];
学科分类号
0808 ; 0809 ;
摘要
In this letter, the authors address the challenge in forecasting non-stationary financial time series by proposing a meta-learning based forecasting model equipped with a convolution neural network (CNN) predictor and a long short-term memory (LSTM) meta-learner. The model is applied to a set of short subseries which are the result of dividing a long non-stationary financial time series. As a result, a promising performance can be achieved by the proposed model in terms of making more accurate prediction than the traditional CNN predictor and auto regressive (AR)-based forecasting models in non-stationary conditions.
引用
收藏
页数:3
相关论文
共 50 条
  • [1] Deep Learning for Non-stationary Multivariate Time Series Forecasting
    Almuammar, Manal
    Fasli, Maria
    2019 IEEE INTERNATIONAL CONFERENCE ON BIG DATA (BIG DATA), 2019, : 2097 - 2106
  • [2] Learning Theory and Algorithms for Forecasting Non-Stationary Time Series
    Kuznetsov, Vitaly
    Mohri, Mehryar
    ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 28 (NIPS 2015), 2015, 28
  • [3] Deep Frequency Derivative Learning for Non-stationary Time Series Forecasting
    Fan, Wei
    Yi, Kun
    Ye, Hangting
    Ning, Zhiyuan
    Zhang, Qi
    An, Ning
    PROCEEDINGS OF THE THIRTY-THIRD INTERNATIONAL JOINT CONFERENCE ON ARTIFICIAL INTELLIGENCE, IJCAI 2024, 2024, : 3944 - 3952
  • [4] Forecasting in non-stationary environments with fuzzy time series
    de Lima e Silva, Petronio Candido
    Severiano Junior, Carlos Alberto
    Alves, Marcos Antonio
    Silva, Rodrigo
    Cohen, Miri Weiss
    Guimaraes, Frederico Gadelha
    APPLIED SOFT COMPUTING, 2020, 97
  • [5] Forecasting non-stationary economic time series.
    Rothman, P
    JOURNAL OF ECONOMIC LITERATURE, 2001, 39 (02) : 570 - 572
  • [6] Forecasting non-stationary economic time series.
    Öller, LE
    INTERNATIONAL JOURNAL OF FORECASTING, 2001, 17 (01) : 133 - 134
  • [7] Meta-learning optimal parameter values in non-stationary environments
    Sikora, Riyaz T.
    KNOWLEDGE-BASED SYSTEMS, 2008, 21 (08) : 800 - 806
  • [8] Meta-learning for time series forecasting and forecast combination
    Lemke, Christiane
    Gabrys, Bogdan
    NEUROCOMPUTING, 2010, 73 (10-12) : 2006 - 2016
  • [9] Discrepancy-Based Theory and Algorithms for Forecasting Non-Stationary Time Series
    Vitaly Kuznetsov
    Mehryar Mohri
    Annals of Mathematics and Artificial Intelligence, 2020, 88 : 367 - 399
  • [10] Discrepancy-Based Theory and Algorithms for Forecasting Non-Stationary Time Series
    Kuznetsov, Vitaly
    Mohri, Mehryar
    ANNALS OF MATHEMATICS AND ARTIFICIAL INTELLIGENCE, 2020, 88 (04) : 367 - 399