Deep Learning and Time Series-to-Image Encoding for Financial Forecasting | |
Silvio Barra; Salvatore Mario Carta; Andrea Corriga; Alessandro Sebastian Podda; Diego Reforgiato Recupero | |
刊名 | IEEE/CAA Journal of Automatica Sinica |
2020 | |
卷号 | 7期号:3页码:683-693 |
关键词 | Convolutional neural networks (CNNs) ensemble of CNNs financial forecasting Gramian angular fields (GAF) imaging |
ISSN号 | 2329-9266 |
DOI | 10.1109/JAS.2020.1003132 |
英文摘要 | In the last decade, market financial forecasting has attracted high interests amongst the researchers in pattern recognition. Usually, the data used for analysing the market, and then gamble on its future trend, are provided as time series; this aspect, along with the high fluctuation of this kind of data, cuts out the use of very efficient classification tools, very popular in the state of the art, like the well known convolutional neural networks (CNNs) models such as Inception, ResNet, AlexNet, and so on. This forces the researchers to train new tools from scratch. Such operations could be very time consuming. This paper exploits an ensemble of CNNs, trained over Gramian angular fields (GAF) images, generated from time series related to the Standard & Poor’s 500 index future; the aim is the prediction of the future trend of the U.S. market. A multi-resolution imaging approach is used to feed each CNN, enabling the analysis of different time intervals for a single observation. A simple trading system based on the ensemble forecaster is used to evaluate the quality of the proposed approach. Our method outperforms the buy-and-hold (B&H) strategy in a time frame where the latter provides excellent returns. Both quantitative and qualitative results are provided. |
内容类型 | 期刊论文 |
源URL | [http://ir.ia.ac.cn/handle/173211/42979] |
专题 | 自动化研究所_学术期刊_IEEE/CAA Journal of Automatica Sinica |
推荐引用方式 GB/T 7714 | Silvio Barra,Salvatore Mario Carta,Andrea Corriga,et al. Deep Learning and Time Series-to-Image Encoding for Financial Forecasting[J]. IEEE/CAA Journal of Automatica Sinica,2020,7(3):683-693. |
APA | Silvio Barra,Salvatore Mario Carta,Andrea Corriga,Alessandro Sebastian Podda,&Diego Reforgiato Recupero.(2020).Deep Learning and Time Series-to-Image Encoding for Financial Forecasting.IEEE/CAA Journal of Automatica Sinica,7(3),683-693. |
MLA | Silvio Barra,et al."Deep Learning and Time Series-to-Image Encoding for Financial Forecasting".IEEE/CAA Journal of Automatica Sinica 7.3(2020):683-693. |
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