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Register a new userCLVSA: A Convolutional LSTM Based Variational Sequence-to-Sequence Model with Attention for Predicting Trends of Financial Markets
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Financial markets are a complex dynamical system. The complexity comes from the interaction between a market and its participants, in other words, the integrated outcome of activities of the entire participants determines the markets trend, while the markets trend affects activities of participants. These interwoven interactions make financial markets keep evolving. Inspired by stochastic recurrent models that successfully capture variability observed in natural sequential data such as speech and video, we propose CLVSA, a hybrid model that consists of stochastic recurrent networks, the sequence-to-sequence architecture, the self- and inter-attention mechanism, and convolutional LSTM units to capture variationally underlying features in raw financial trading data. Our model outperforms basic models, such as convolutional neural network, vanilla LSTM network, and sequence-to-sequence model with attention, based on backtesting results of six futures from January 2010 to December 2017. Our experimental results show that, by introducing an approximate posterior, CLVSA takes advantage of an extra regularizer based on the Kullback-Leibler divergence to prevent itself from overfitting traps.
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Early prediction of the prevalence of influenza reduces its impact. Various studies have been conducted to predict the number of influenza-infected people. However, these studies are not highly accurate especially in the distant future such as over one month. To deal with this problem, we investigate the sequence to sequence (Seq2Seq) with attention model using Google Trends data to assess and predict the number of influenza-infected people over the course of multiple weeks. Google Trends data help to compensate the dark figures including the statistics and improve the prediction accuracy. We demonstrate that the attention mechanism is highly effective to improve prediction accuracy and achieves state-of-the art results, with a Pearson correlation and root-mean-square error of 0.996 and 0.67, respectively. However, the prediction accuracy of the peak of influenza epidemic is not sufficient, and further investigation is needed to overcome this problem.
The present study aims to establish the model of the cryptocurrency price trend based on financial theory using the LSTM model with multiple combinations between the window length and the predicting horizons, the random walk model is also applied with different parameter settings.
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking analogy with hydrodynamic turbulence, from which the idea of multifractality originated, multifractal analysis of financial markets has bloomed, forming one of the main directions of econophysics. We review the multifractal analysis methods and multifractal models adopted in or invented for financial time series and their subtle properties, which are applicable to time series in other disciplines. We survey the cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods and discuss the sources of multifractality. The usefulness of multifractal analysis in quantifying market inefficiency, in supporting risk management and in developing other applications is presented. We finally discuss open problems and further directions of multifractal analysis.
The foreign exchange market has taken an important role in the global financial market. While foreign exchange trading brings high-yield opportunities to investors, it also brings certain risks. Since the establishment of the foreign exchange market in the 20th century, foreign exchange rate forecasting has become a hot issue studied by scholars from all over the world. Due to the complexity and number of factors affecting the foreign exchange market, technical analysis cannot respond to administrative intervention or unexpected events. Our team chose several pairs of foreign currency historical data and derived technical indicators from 2005 to 2021 as the dataset and established different machine learning models for event-driven price prediction for oversold scenario.
This work proposes a novel adaptation of a pretrained sequence-to-sequence model to the task of document ranking. Our approach is fundamentally different from a commonly-adopted classification-based formulation of ranking, based on encoder-only pretrained transformer architectures such as BERT. We show how a sequence-to-sequence model can be trained to generate relevance labels as target words, and how the underlying logits of these target words can be interpreted as relevance probabilities for ranking. On the popular MS MARCO passage ranking task, experimental results show that our approach is at least on par with previous classification-based models and can surpass them with larger, more-recent models. On the test collection from the TREC 2004 Robust Track, we demonstrate a zero-shot transfer-based approach that outperforms previous state-of-the-art models requiring in-dataset cross-validation. Furthermore, we find that our approach significantly outperforms an encoder-only model in a data-poor regime (i.e., with few training examples). We investigate this observation further by varying target words to probe the models use of latent knowledge.
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