Cited by 73Stock Market Forecasting MethodsTime Series Analysis and ForecastingFinancial Markets and Investment Strategies

CLVSA: A Convolutional LSTM Based Variational Sequence-to-Sequence Model with Attention for Predicting Trends of Financial Markets

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Wang, Jia, Sun, Tong, Liu, Benyuan, Cao, Yu, Zhu, Hongwei·2019·Proceedings of the Twenty-Eighth International Joint Conference on Artificial Intelligence

Abstract

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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  1. [19]19. Hochreiter and Schmidhuber, 1997] Sepp Hochreiter and Jürgen Schmidhuber. Long short-term memory. Neural computation, 9(8):1735-1780, 1997.
  2. [30]30. Mikolov et al., 2013] Tomas Mikolov, Ilya Sutskever, Kai Chen, Greg S Corrado, and Jeff Dean. Distributed repre- sentations of words and phrases and their compositional- ity. In Advances in neural information processing systems, pages 3111-3119, 2013.

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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
Citations by year
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
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

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