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
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