A novel time series prediction method based on pooling compressed sensing echo state network and its application in stock market

被引:13
作者
Wang, Zijian [1 ]
Zhao, Hui [1 ]
Zheng, Mingwen [2 ]
Niu, Sijie [1 ]
Gao, Xizhan [1 ]
Li, Lixiang [3 ]
机构
[1] Univ Jinan, Sch Informat Sci & Engn, Shandong Prov Key Lab Network Based Intelligent Co, Jinan 250022, Peoples R China
[2] Shandong Univ Technol, Sch Math & Stat, Zibo 255000, Peoples R China
[3] Beijing Univ Posts & Telecommun, Informat Secur Ctr, State Key Lab Networking & Switching Technol, Beijing 100876, Peoples R China
基金
中国国家自然科学基金;
关键词
Echo state network; Pooling activation algorithm; Compressed sensing; Chaotic time series; Stock price prediction;
D O I
10.1016/j.neunet.2023.04.031
中图分类号
TP18 [人工智能理论];
学科分类号
081104 ; 0812 ; 0835 ; 1405 ;
摘要
In the prediction of time series, the echo state network (ESN) exhibits exclusive strengths and a unique training structure. Based on ESN model, a pooling activation algorithm consisting noise value and adjusted pooling algorithm is proposed to enrich the update strategy of the reservoir layer in ESN. The algorithm optimizes the distribution of reservoir layer nodes. And the nodes set will be more matched to the characteristics of the data. In addition, we introduce a more efficient and accurate compressed sensing technique based on the existing research. The novel compressed sensing technique reduces the amount of spatial computation of methods. The ESN model based on the above two techniques overcomes the limitations in traditional prediction. In the experimental part, the model is validated with different chaotic time series as well as multiple stocks, and the method shows its efficiency and accuracy in prediction.(c) 2023 Elsevier Ltd. All rights reserved.
引用
收藏
页码:216 / 227
页数:12
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