Forecasting stock market with nanophotonic reservoir computing system based on silicon optomechanical oscillators.

Abstract

The essence of stock market forecasting is to reveal the intrinsic operation rules of stock market, however it is a terribly arduous challenge for investors. The application of nanophotonic technology in the intelligence field provides a new approach for stock market forecasting with its unique advantages. In this work, a novel nanophotonic reservoir computing (RC) system based on silicon optomechanical oscillators (OMO) with photonic crystal (PhC) cavities for stock market forecasting is implemented. The long-term closing prices of four representative stock indexes are accurately forecast with small prediction errors, and the forecasting results with distinct characteristics are exhibited in the mature stock market and emerging stock market separately. Our work offers solutions and suggestions for surmounting the concept drift problem in stock market environment. The comprehensive influence of RC parameters on forecasting performance are displayed via the mapping diagrams, while some intriguing results indicate that the mature stock markets are more sensitive to the variation of RC parameters than the emerging stock markets. Furthermore, the direction trend forecasting results illustrate that our system has certain direction forecasting ability. Additionally, the stock forecasting problem with short listing time and few data in the stock market is solved through transfer learning (TL) in stock sector. The generalization ability (GA) of our nanophotonic reservoir computing system is also verified via four stocks in the same region and industry. Therefore, our work contributes to a novel RC model for stock market forecasting in the nanophotonic field, and provides a new prototype system for more applications in the intelligent information processing field.