Deep learning models for price forecasting of financial time series: A review of recent advancements: 2020-2022

• URL: http://arxiv.org/abs/2305.04811v2
• Date: Thu, 28 Sep 2023 11:02:20 GMT
• Title: Deep learning models for price forecasting of financial time series: A review of recent advancements: 2020-2022
• Authors: Cheng Zhang, Nilam Nur Amir Sjarif, Roslina Ibrahim
• Abstract summary: Deep learning models are replacing traditional statistical and machine learning models for price forecasting tasks. This review delves deeply into deep learning-based forecasting models, presenting information on model architectures, practical applications, and their respective advantages and disadvantages. The present contribution also includes potential directions for future research, such as examining the effectiveness of deep learning models with complex structures for price forecasting.
• Score: 6.05458608266581
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Accurately predicting the prices of financial time series is essential and challenging for the financial sector. Owing to recent advancements in deep learning techniques, deep learning models are gradually replacing traditional statistical and machine learning models as the first choice for price forecasting tasks. This shift in model selection has led to a notable rise in research related to applying deep learning models to price forecasting, resulting in a rapid accumulation of new knowledge. Therefore, we conducted a literature review of relevant studies over the past three years with a view to aiding researchers and practitioners in the field. This review delves deeply into deep learning-based forecasting models, presenting information on model architectures, practical applications, and their respective advantages and disadvantages. In particular, detailed information is provided on advanced models for price forecasting, such as Transformers, generative adversarial networks (GANs), graph neural networks (GNNs), and deep quantum neural networks (DQNNs). The present contribution also includes potential directions for future research, such as examining the effectiveness of deep learning models with complex structures for price forecasting, extending from point prediction to interval prediction using deep learning models, scrutinising the reliability and validity of decomposition ensembles, and exploring the influence of data volume on model performance.

Related papers

• A Survey of Deep Learning and Foundation Models for Time Series Forecasting [16.814826712022324]
  Deep learning has been successfully applied to many application domains, yet its advantages have been slow to emerge for time series forecasting. Foundation models with extensive pre-training allow models to understand patterns and acquire knowledge that can be applied to new related problems. There is ongoing research examining how to utilize or inject such knowledge into deep learning models.
  arXiv  Detail & Related papers  (2024-01-25T03:14:07Z)
• Visual Prompting Upgrades Neural Network Sparsification: A Data-Model Perspective [67.25782152459851]
  We introduce a novel data-model co-design perspective: to promote superior weight sparsity. Specifically, customized Visual Prompts are mounted to upgrade neural Network sparsification in our proposed VPNs framework.
  arXiv  Detail & Related papers  (2023-12-03T13:50:24Z)
• Deep networks for system identification: a Survey [56.34005280792013]
  System identification learns mathematical descriptions of dynamic systems from input-output data. Main aim of the identified model is to predict new data from previous observations. We discuss architectures commonly adopted in the literature, like feedforward, convolutional, and recurrent networks.
  arXiv  Detail & Related papers  (2023-01-30T12:38:31Z)
• Probabilistic AutoRegressive Neural Networks for Accurate Long-range Forecasting [6.295157260756792]
  We introduce the Probabilistic AutoRegressive Neural Networks (PARNN) PARNN is capable of handling complex time series data exhibiting non-stationarity, nonlinearity, non-seasonality, long-range dependence, and chaotic patterns. We evaluate the performance of PARNN against standard statistical, machine learning, and deep learning models, including Transformers, NBeats, and DeepAR.
  arXiv  Detail & Related papers  (2022-04-01T17:57:36Z)
• Leveraging the structure of dynamical systems for data-driven modeling [111.45324708884813]
  We consider the impact of the training set and its structure on the quality of the long-term prediction. We show how an informed design of the training set, based on invariants of the system and the structure of the underlying attractor, significantly improves the resulting models.
  arXiv  Detail & Related papers  (2021-12-15T20:09:20Z)
• Back2Future: Leveraging Backfill Dynamics for Improving Real-time Predictions in Future [73.03458424369657]
  In real-time forecasting in public health, data collection is a non-trivial and demanding task. 'Backfill' phenomenon and its effect on model performance has been barely studied in the prior literature. We formulate a novel problem and neural framework Back2Future that aims to refine a given model's predictions in real-time.
  arXiv  Detail & Related papers  (2021-06-08T14:48:20Z)
• A Stochastic Time Series Model for Predicting Financial Trends using NLP [4.081440927534578]
  Recent advancements in deep neural network technology allow researchers to develop highly accurate models to predict financial trends. We propose a novel deep learning model called ST-GAN, or Time-series Generative Adversarial Network. We utilize cutting-edge technology like the Generative Adversarial Network (GAN) to learn the correlations among textual and numerical data over time.
  arXiv  Detail & Related papers  (2021-02-02T04:03:01Z)
• Do we need to go Deep? Knowledge Tracing with Big Data [5.218882272051637]
  We use EdNet, the largest student interaction dataset publicly available in the education domain, to understand how accurately both deep and traditional models predict future student performances. Our work observes that logistic regression models with carefully engineered features outperformed deep models from extensive experimentation.
  arXiv  Detail & Related papers  (2021-01-20T22:40:38Z)
• Generative Temporal Difference Learning for Infinite-Horizon Prediction [101.59882753763888]
  We introduce the $gamma$-model, a predictive model of environment dynamics with an infinite probabilistic horizon. We discuss how its training reflects an inescapable tradeoff between training-time and testing-time compounding errors.
  arXiv  Detail & Related papers  (2020-10-27T17:54:12Z)
• Forethought and Hindsight in Credit Assignment [62.05690959741223]
  We work to understand the gains and peculiarities of planning employed as forethought via forward models or as hindsight operating with backward models. We investigate the best use of models in planning, primarily focusing on the selection of states in which predictions should be (re)-evaluated.
  arXiv  Detail & Related papers  (2020-10-26T16:00:47Z)
• A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Models [0.0]
  We present a very robust and accurate framework of stock price prediction that consists of an agglomeration of statistical, machine learning and deep learning models. We use the daily stock price data, collected at five minutes interval of time, of a very well known company that is listed in the National Stock Exchange (NSE) of India. We contend that the agglomerative approach of model building that uses a combination of statistical, machine learning, and deep learning approaches, can very effectively learn from the volatile and random movement patterns in a stock price data.
  arXiv  Detail & Related papers  (2020-04-17T19:41:22Z)

This list is automatically generated from the titles and abstracts of the papers in this site.

This site does not guarantee the quality of this site (including all information) and is not responsible for any consequences.