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

来源：

ELECTRONICS LETTERS | 2023年 / 59卷 / 01期

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

页数：3

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