An Effective GAN-Based Multi-classification Approach for Financial Time Series Article Swipe

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Lei Liu , Zheng Pei , Peng Chen , Zhisheng Gao , Zhihao Gan , Kang Feng ·

YOU? · · 2022 · Open Access · · DOI: https://doi.org/10.1007/978-981-19-2456-9_110

Deep learning has achieved significant success in various applications due to its powerful feature representations of complex data. Financial time series forecasting is no exception. In this work we leverage Generative Adversarial Nets (GAN), which has been extensively studied recently, for the end-to-end multi-classification of financial time series. An improved generative model based on Convolutional Long Short-Term Memory (ConvLSTM) and Multi-Layer Perceptron (MLP) is proposed to effectively capture temporal features and mine the data distribution of volatility trends (short, neutral, and long) from given financial time series data. We empirically compare the proposed approach with state-of-the-art multi-classification methods on real-world stock dataset. The results show that the proposed GAN-based method outperforms its competitors in precision and F1 score.

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Computer Science

Artificial Intelligence

Long Short-Term Memory

Data Mining

Recurrent Neural Network

Concepts

Leverage (statistics) Computer science Artificial intelligence Volatility (finance) Time series Finance Perceptron Competitor analysis Machine learning Series (stratigraphy) Generative grammar Long short term memory Data mining Pattern recognition (psychology) Artificial neural network Recurrent neural network Economics Paleontology Biology Management

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Type: book-chapter
Language: en
Landing Page: https://doi.org/10.1007/978-981-19-2456-9_110
PDF: https://link.springer.com/content/pdf/10.1007/978-981-19-2456-9_110.pdf
OA Status: hybrid
Cited By: 1
References: 12
Related Works: 10
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DOI: https://doi.org/10.1007/978-981-19-2456-9_110

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Title: An Effective GAN-Based Multi-classification Approach for Financial Time Series

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Language: en

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Publication year: 2022

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Publication date: 2022-01-01

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Authors: Lei Liu, Zheng Pei, Peng Chen, Zhisheng Gao, Zhihao Gan, Kang Feng

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Landing page: https://doi.org/10.1007/978-981-19-2456-9_110

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Concepts: Leverage (statistics), Computer science, Artificial intelligence, Volatility (finance), Time series, Finance, Perceptron, Competitor analysis, Machine learning, Series (stratigraphy), Generative grammar, Long short term memory, Data mining, Pattern recognition (psychology), Artificial neural network, Recurrent neural network, Economics, Paleontology, Biology, Management

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Cited by: 1

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