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A dynamic predictor selection algorithm for predicting stock market movement
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DOI：10.1016/j.eswa.2021.115836.png)
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摘要
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Although training a deep network with financial time series is not hard, the important issue is, how much the prediction for the truly new data can be trusted with a trained network. In this study, we propose a dynamic predictor selection algorithm (DPSA) that dynamically evaluates and selects the prediction model (predictor) for stock daily movement trend prediction. We first build an initial set of potential candidate predictors based on the convolutional long short-term memory networks (ConvLSTMs) by using different values of parameters. To evaluate the candidate predictors, we propose a kernel time-weighted fuzzy c-means clustering algorithm (KTFCM), which improves the kernel FCM algorithm (KFCM), to organize the historical samples according to their relevance to the target sample, which makes the historical samples that are closely related to the target sample have more influence on the predictors. Then, we use the well-organized historical samples to evaluate the candidate predictors. The predictor that yields the best accuracy is selected to predict the target sample. The proposed DPSA algorithm takes less than one minute in total for training the networks, evaluating and selecting the predictors, and performing prediction, which greatly shortens the time of the deep learning prediction. We perform the comparative experiments for the proposed DPSA algorithm and seven popular methods. These experiments test a large real-life financial time series data of various stock markets. The experiment results show that DPSA achieves the best accuracy and the highest return compared to the seven other popular methods.
Keyword:
Financial time series
Improved KFCM algorithm
Dynamic prediction
Time-weighted
Deep learning
ConvLSTM
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期刊
IF:
7.5
论文数:
3.0W
被引数:
10.2W
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