Early MTS Forecasting for Dynamic Stock Prediction: A Double Q-Learning Ensemble Approach

Abstract

Multivariate time series (MTS) forecasting is a rapidly expanding field with diverse and futuristic applications. However, traditional statistical learning models need more prediction accuracy when faced with dynamic variability, non-linearity, and non-stationarity, as well as the challenge of selecting MTS data for classification. Moreover, the existing methods for early classification of multivariate time series data suffer from numerous severe challenges, including evaluating the length of testing the MTS data component, which must be equal to the training MTS data component, and the availability of faulty data components in MTS. To address this issue, we propose a novel framework for early MTS forecasting using double Q-learning-based ensemble techniques to improve prediction accuracy. Our framework uses Q-learning agents to select optimal actions, which results in maximum rewards and accurate prediction. We investigate the ensemble behavior of learned agents using double Q-learning and Gaussian Process Classifiers (GPC) for early forecasting of MTS data. We also determine the minimum required time-series length for classifying faulty data components using the probabilistic Auto-Regressive Integrated Moving Average (ARIMA) model, enhancing framework robustness and mitigating miss-classification accuracy. Our proposed framework achieves 99.89% accuracy for early forecasting, surpassing existing methods based on different benchmark settings and publicly available multivariate time-series datasets. The framework provides a promising solution to the challenges of accurate MTS forecasting and offers insights into the early prediction of recent stock market trading data.

Keywords

• Q-learning
• ensemble learning
• Markov decision processes
• classification
• dynamic stock marketing
• PPO