Improved Predictive Deep Temporal Neural Networks with Trend Filtering

• URL: http://arxiv.org/abs/2010.08234v1
• Date: Fri, 16 Oct 2020 08:29:36 GMT
• Title: Improved Predictive Deep Temporal Neural Networks with Trend Filtering
• Authors: Youngjin Park, Deokjun Eom, Byoungki Seo, Jaesik Choi
• Abstract summary: We propose a new prediction framework based on deep neural networks and a trend filtering. We reveal that the predictive performance of deep temporal neural networks improves when the training data is temporally processed by a trend filtering.
• Score: 22.352437268596674
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Forecasting with multivariate time series, which aims to predict future values given previous and current several univariate time series data, has been studied for decades, with one example being ARIMA. Because it is difficult to measure the extent to which noise is mixed with informative signals within rapidly fluctuating financial time series data, designing a good predictive model is not a simple task. Recently, many researchers have become interested in recurrent neural networks and attention-based neural networks, applying them in financial forecasting. There have been many attempts to utilize these methods for the capturing of long-term temporal dependencies and to select more important features in multivariate time series data in order to make accurate predictions. In this paper, we propose a new prediction framework based on deep neural networks and a trend filtering, which converts noisy time series data into a piecewise linear fashion. We reveal that the predictive performance of deep temporal neural networks improves when the training data is temporally processed by a trend filtering. To verify the effect of our framework, three deep temporal neural networks, state of the art models for predictions in time series finance data, are used and compared with models that contain trend filtering as an input feature. Extensive experiments on real-world multivariate time series data show that the proposed method is effective and significantly better than existing baseline methods.

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