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Deep Learning for Financial Time Series Prediction:A State-of-the-Art Review of Standalone and HybridModels

Computer Modeling in Engineering & Sciences 2024年第4期139卷 187-224页

作者： Weisi Chen walayat hussain Francesco Cauteruccio Xu Zhang School of Software Engineering Xiamen University of TechnologyXiamen361024China Peter Faber Business School Australian Catholic UniversityNorth Sydney2060Australia Department of Information Engineering Polytechnic University of MarcheAncona60121Italy

Financial time series prediction,whether for classification or regression,has been a heated research topic over the last *** traditional machine learning algorithms have experienced mediocre results,deep learning has largely contributed to the elevation of the prediction ***,the most up-to-date review of advanced machine learning techniques for financial time series prediction is still lacking,making it challenging for finance domain experts and relevant practitioners to determine which model potentially performs better,what techniques and components are involved,and how themodel can be designed and *** review article provides an overview of techniques,components and frameworks for financial time series prediction,with an emphasis on state-of-the-art deep learning models in the literature from2015 to 2023,including standalonemodels like convolutional neural networks(CNN)that are capable of extracting spatial dependencies within data,and long short-term memory(LSTM)that is designed for handling temporal dependencies;and hybrid models integrating CNN,LSTM,attention mechanism(AM)and other *** illustration and comparison purposes,models proposed in recent studies are mapped to relevant elements of a generalized framework comprised of input,output,feature extraction,prediction,and related *** the state-of-the-artmodels,hybrid models like CNNLSTMand CNN-LSTM-AM in general have been reported superior in performance to stand-alone models like the CNN-only *** remaining challenges have been discussed,including non-friendliness for finance domain experts,delayed prediction,domain knowledge negligence,lack of standards,and inability of real-time and highfrequency *** principal contributions of this paper are to provide a one-stop guide for both academia and industry to review,compare and summarize technologies and recent advances in this area,to facilitate smooth and informed implementation,and t

关键词： Financial time series prediction convolutional neural network long short-term memory deep learning attention mechanism finance

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