计算机科学
量化(信号处理)
人工神经网络
离散化
数据挖掘
时间序列
传感器融合
矢量量化
反向传播
人工智能
机器学习
算法
数学
数学分析
作者
Kinjal Chaudhari,Ankit Thakkar
标识
DOI:10.1016/j.ipm.2023.103293
摘要
As compared to the continuous temporal distributions, discrete data representations may be desired for simplified and faster data analysis and forecasting. Data compression can introduce one of the efficient ways to reduce continuous historical stock market data and present them in discrete forms; while predicting stock trend, a primary concern is towards up and down directions of the price movement and thus, data discretization for a focused approach can be beneficial. In this article, we propose a quantization-based data fusion approach with a primary motivation to reduce data complexity and hence, enhance the prediction ability of a model. Here, the continuous time-series values are transformed into discrete quantum values prior to applying them to a prediction model. We extend the proposed approach and factorize quantization by integrating different quantization step sizes. Such fused data can reduce the data to mainly concentrate on the stock price movement direction. To empirically evaluate the proposed approach for stock trend prediction, we adopt long short-term memory, deep neural network, and backpropagation neural network models and compare our prediction results with five existing approaches on several datasets using ten performance metrics. We analyze the impact of specific quantization factors and determine the individual best as well as overall best factor sizes; the results indicate a consistent performance enhancement in stock trend prediction accuracy as compared to the considered baseline methods with an improvement up to 7%. To evaluate the impact of quantization-based data fusion, we analyze time required to execute the experiments along with percentage reduction in the number of unique numeric terms. Further, these results are statistically evaluated using Wilcoxon signed-rank test. We discuss the superiority and applicability of factored quantization-based data fusion approach and conclude our work with potential future research directions.
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