Deep Optimal Timing Strategies for Time Series

• URL: http://arxiv.org/abs/2310.05479v1
• Date: Mon, 9 Oct 2023 07:38:23 GMT
• Title: Deep Optimal Timing Strategies for Time Series
• Authors: Chen Pan, Fan Zhou, Xuanwei Hu, Xinxin Zhu, Wenxin Ning, Zi Zhuang, Siqiao Xue, James Zhang, and Yunhua Hu
• Abstract summary: We propose a mechanism that combines a probabilistic time series forecasting task and an optimal timing decision task. Specifically, it generates the future paths of the underlying time series via probabilistic forecasting algorithms. In order to find the optimal execution time, we formulate the decision task as an optimal stopping problem, and employ a recurrent neural network structure (RNN) to approximate the optimal times.
• Score: 12.207534174462145
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Deciding the best future execution time is a critical task in many business activities while evolving time series forecasting, and optimal timing strategy provides such a solution, which is driven by observed data. This solution has plenty of valuable applications to reduce the operation costs. In this paper, we propose a mechanism that combines a probabilistic time series forecasting task and an optimal timing decision task as a first systematic attempt to tackle these practical problems with both solid theoretical foundation and real-world flexibility. Specifically, it generates the future paths of the underlying time series via probabilistic forecasting algorithms, which does not need a sophisticated mathematical dynamic model relying on strong prior knowledge as most other common practices. In order to find the optimal execution time, we formulate the decision task as an optimal stopping problem, and employ a recurrent neural network structure (RNN) to approximate the optimal times. Github repository: \url{github.com/ChenPopper/optimal_timing_TSF}.

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