气候变化领域集成服务门户(CCPortal): Financial Time Series Forecasting with the Deep Learning Ensemble Model

CCPortal

DOI	10.3390/math11041054
	Financial Time Series Forecasting with the Deep Learning Ensemble Model
	He, Kaijian; Yang, Qian; Ji, Lei; Pan, Jingcheng; Zou, Yingchao
发表日期	2023
EISSN	2227-7390
卷号	11 期号:4
英文摘要	With the continuous development of financial markets worldwide to tackle rapid changes such as climate change and global warming, there has been increasing recognition of the importance of financial time series forecasting in financial market operation and management. In this paper, we propose a new financial time series forecasting model based on the deep learning ensemble model. The model is constructed by taking advantage of a convolutional neural network (CNN), long short-term memory (LSTM) network, and the autoregressive moving average (ARMA) model. The CNN-LSTM model is introduced to model the spatiotemporal data feature, while the ARMA model is used to model the autocorrelation data feature. These models are combined in the ensemble framework to model the mixture of linear and nonlinear data features in the financial time series. The empirical results using financial time series data show that the proposed deep learning ensemble-based financial time series forecasting model achieved superior performance in terms of forecasting accuracy and robustness compared with the benchmark individual models.
英文关键词	financial time series; convolutional neural network; long short-term memory; ensemble forecasting model
语种	英语
WOS研究方向	Mathematics
WOS类目	Science Citation Index Expanded (SCI-EXPANDED)
WOS记录号	WOS:000940653000001
来源期刊	MATHEMATICS
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/281322
作者单位	Hunan Normal University; Hunan University of Science & Technology
推荐引用方式 GB/T 7714	He, Kaijian,Yang, Qian,Ji, Lei,et al. Financial Time Series Forecasting with the Deep Learning Ensemble Model[J],2023,11(4).
APA	He, Kaijian,Yang, Qian,Ji, Lei,Pan, Jingcheng,&Zou, Yingchao.(2023).Financial Time Series Forecasting with the Deep Learning Ensemble Model.MATHEMATICS,11(4).
MLA	He, Kaijian,et al."Financial Time Series Forecasting with the Deep Learning Ensemble Model".MATHEMATICS 11.4(2023).