Financial assets prediction based on ARIMA, Random Forest and GRU

Abstract

As a matter of fact, financial asset prediction is a domain of great interest because of its potential to generate revenue. In reality, financial asset prediction models have evolved from basic time series analysis models to contemporarily hybrid models with the help of machine learning algorithms. To be specific, this study will introduce and analyse three popular financial asset forecasting models and their hybrids in terms of the properties they have demonstrated in the completed studies. In reality, good results have been achieved using a time series analysis method named autoregressive integrated moving average (ARIMA) for capturing linear elements. According to the analysis, in dealing with data noise and interpretability, Random Forest (RF) algorithm, a machine learning technique, produced positive outcomes. Deep learning technique gate recurrent unit (GRU) produced positive outcomes in terms of prediction accuracy. Based on the evaluations, this study indicates future research directions in the field of financial asset forecasting by analysing and organizing the characteristics of three different mainstream models.