Deep Learning Model for Multivariate High-Frequency Time-Series Data: Financial Market Index Prediction

Abstract

The stock index is actively used for the realization of profits using derivatives and via the hedging of assets; hence, the prediction of the index is important for market participants. As market uncertainty has increased during the COVID-19 pandemic and with the rapid development of data engineering, a situation has arisen wherein extensive amounts of information must be processed at finer time intervals. Addressing the prevalent issues of difficulty in handling multivariate high-frequency time-series data owing to multicollinearity, resource problems in computing hardware, and the gradient vanishing problem due to the layer stacking in recurrent neural network (RNN) series, a novel algorithm is developed in this study. For financial market index prediction with these highly complex data, the algorithm combines ResNet and a variable-wise attention mechanism. To verify the superior performance of the proposed model, RNN, long short-term memory, and ResNet18 models were designed and compared with and without the attention mechanism. As per the results, the proposed model demonstrated a suitable synergistic effect with the time-series data and excellent classification performance, in addition to overcoming the data structure constraints that the other models exhibit. Having successfully presented multivariate high-frequency time-series data analysis, this study enables effective investment decision making based on the market signals.