Stock Market Trend Prediction Using High-Order Information of Time Series

Abstract

Given a financial time series such as S&P 500, or any historical data in stock markets, how can we obtain useful information from recent transaction data to predict the ups and downs at the next moment? Recent work on this issue shows initial evidence that machine learning techniques are capable of identifying (non-linear) dependency in the stock market price sequences. However, due to the high volatility and non-stationary nature of the stock market, forecasting the trend of a financial time series remains a big challenge. In this paper, we introduced a new method to simplify noisy-filled financial temporal series via sequence reconstruction by leveraging motifs (frequent patterns), and then utilize a convolutional neural network to capture spatial structure of time series. The experimental results show the efficiency of our proposed method in feature learning and outperformance with 4%-7% accuracy improvement compared with the traditional signal process methods and frequency trading patterns modeling approach with deep learning in stock trend prediction.

Keywords

• Trend prediction
• convolutional neural network
• financial time series
• motif extraction