An Effective GAN-Based Multi-classification Approach for Financial Time Series

Abstract

AbstractDeep learning has achieved significant success in various applications due to its powerful feature representations of complex data. Financial time series forecasting is no exception. In this work we leverage Generative Adversarial Nets (GAN), which has been extensively studied recently, for the end-to-end multi-classification of financial time series. An improved generative model based on Convolutional Long Short-Term Memory (ConvLSTM) and Multi-Layer Perceptron (MLP) is proposed to effectively capture temporal features and mine the data distribution of volatility trends (short, neutral, and long) from given financial time series data. We empirically compare the proposed approach with state-of-the-art multi-classification methods on real-world stock dataset. The results show that the proposed GAN-based method outperforms its competitors in precision and F1 score.