| Autor: |
Yung-Chen Li, Hsiao-Yun Huang, Nan-Ping Yang, Yi-Hung Kung |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
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| Zdroj: |
Entropy, Vol 25, Iss 9, p 1326 (2023) |
| Druh dokumentu: |
article |
| ISSN: |
1099-4300 |
| DOI: |
10.3390/e25091326 |
| Popis: |
This study introduces the Spacetimeformer model, a novel approach for predicting stock prices, leveraging the Transformer architecture with a time–space mechanism to capture both spatial and temporal interactions among stocks. Traditional Long–Short Term Memory (LSTM) and recent Transformer models lack the ability to directly incorporate spatial information, making the Spacetimeformer model a valuable addition to stock price prediction. This article uses the ten minute stock prices of the constituent stocks of the Taiwan 50 Index and the intraday data of individual stock on the Taiwan Stock Exchange. By training the Timespaceformer model with multi-time-step stock price data, we can predict the stock prices at every ten minute interval within the next hour. Finally, we also compare the prediction results with LSTM and Transformer models that only consider temporal relationships. The research demonstrates that the Spacetimeformer model consistently captures essential trend changes and provides stable predictions in stock price forecasting. This article proposes a Spacetimeformer model combined with daily moving windows. This method has superior performance in stock price prediction and also demonstrates the significance and value of the space–time mechanism for prediction. We recommend that people who want to predict stock prices or other financial instruments try our proposed method to obtain a better return on investment. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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