CLVSA: A Convolutional LSTM Based Variational Sequence-to-Sequence Model with Attention for Predicting Trends of Financial Markets
Open accessAbstract
Financial markets are a complex dynamical system. The complexity comes from the interaction between a market and its participants, in other words, the integrated outcome of activities of the entire participants determines the markets trend, while the markets trend affects activities of participants. These interwoven interactions make financial markets keep evolving. Inspired by stochastic recurrent models that successfully capture variability observed in natural sequential data such as speech and video, we propose CLVSA, a hybrid model that consists of stochastic recurrent networks, the sequence-to-sequence architecture, the self- and inter-attention mechanism, and convolutional LSTM units to capture variationally underlying features in raw financial trading data. Our model outperforms basic models, such as convolutional neural network, vanilla LSTM network, and sequence-to-sequence model with attention, based on backtesting results of six futures from January 2010 to December 2017. Our experimental results show that, by introducing an approximate posterior, CLVSA takes advantage of an extra regularizer based on the Kullback-Leibler divergence to prevent itself from overfitting traps.
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- Authors
- Wang, J., Sun, T., Liu, B., Cao, Y., & Zhu, H.
- Affiliations
- University of Massachusetts Lowell (US)
- Venue
- Proceedings of the Twenty-Eighth International Joint Conference on Artificial Intelligence
- Published
- 2019-08
- Pages
- 3705-3711
- OpenAlex
- W2966276668
- Cited by
- 73
- References
- 30
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- 2026: 3 · 2025: 10 · 2024: 11 · 2023: 13 · 2022: 19 · 2021: 12 · 2020: 3 · 2019: 2
- FWCI
- 13.00
- Type
- conference paper
- Language
- en
- Open access
- bronze
- doi.org
- Locations
- International Joint Conference on Artificial Intelligence (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- arXiv (Cornell University) (submittedVersion)
- arXiv (Cornell University)
- Topics
- Social Sciences › Decision Sciences › Management Science and Operations Research › Stock Market Forecasting Methods
- Physical Sciences › Computer Science › Signal Processing › Time Series Analysis and Forecasting
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Keywords
- convolutional LSTM, variational inference, sequence-to-sequence models, attention mechanism, futures trading, approximate posterior, Kullback-Leibler divergence regularization, overfitting reduction, trading data
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
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