F.4.18. Time series analysis
Fatemeh Moodi; Amir Jahangard Rafsanjani; Sajjad Zarifzadeh; Mohammad Ali Zare Chahooki
Abstract
This article proposes a novel hybrid network integrating three distinct architectures -CNN, GRU, and LSTM- to predict stock price movements. Here with Combining Feature Extraction and Sequence Learning and Complementary Strengths can Improved Predictive Performance. CNNs can effectively identify short-term ...
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This article proposes a novel hybrid network integrating three distinct architectures -CNN, GRU, and LSTM- to predict stock price movements. Here with Combining Feature Extraction and Sequence Learning and Complementary Strengths can Improved Predictive Performance. CNNs can effectively identify short-term dependencies and relevant features in time series, such as trends or spikes in stock prices. GRUs designed to handle sequential data. They are particularly useful for capturing dependencies over time while being computationally less expensive than LSTMs. In the hybrid model, GRUs help maintain relevant historical information in the sequence without suffering from vanishing gradient problems, making them more efficient for long sequences. LSTMs excel at learning long-term dependencies in sequential data, thanks to their memory cell structure. By retaining information over longer periods, LSTMs in the hybrid model ensure that important trends over time are not lost, providing a deeper understanding of the time series data. The novelty of the 1D-CNN-GRU-LSTM hybrid model lies in its ability to simultaneously capture short-term patterns and long-term dependencies in time series data, offering a more nuanced and accurate prediction of stock prices. The data set comprises technical indicators, sentiment analysis, and various aspects derived from pertinent tweets. Stock price movement is categorized into three categories: Rise, Fall, and Stable. Evaluation of this model on five years of transaction data demonstrates its capability to forecast stock price movements with an accuracy of 0.93717. The improvement of proposed hybrid model for stock movement prediction over existing models is 12% for accuracy and F1-score metrics.
F.4.18. Time series analysis
Ali Ghorbanian; Hamideh Razavi
Abstract
In time series clustering, features are typically extracted from the time series data and used for clustering instead of directly clustering the data. However, using the same set of features for all data sets may not be effective. To overcome this limitation, this study proposes a five-step algorithm ...
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In time series clustering, features are typically extracted from the time series data and used for clustering instead of directly clustering the data. However, using the same set of features for all data sets may not be effective. To overcome this limitation, this study proposes a five-step algorithm that extracts a complete set of features for each data set, including both direct and indirect features. The algorithm then selects essential features for clustering using a genetic algorithm and internal clustering criteria. The final clustering is performed using a hierarchical clustering algorithm and the selected features. Results from applying the algorithm to 81 data sets indicate an average Rand index of 72.16%, with 38 of the 78 extracted features, on average, being selected for clustering. Statistical tests comparing this algorithm to four others in the literature confirm its effectiveness.
