Improved Predictive Deep Temporal Neural Networks with Trend Filtering

TL;DR

This paper introduces a novel deep neural network framework incorporating trend filtering to improve forecasting accuracy in noisy multivariate time series data, especially in financial contexts.

Contribution

It proposes a new prediction framework that applies trend filtering to enhance deep neural network performance in time series forecasting.

Findings

Trend filtering improves predictive accuracy of deep neural networks.

The proposed method outperforms baseline models on real-world data.

Significant performance gains in financial time series forecasting.

Abstract

Forecasting with multivariate time series, which aims to predict future values given previous and current several univariate time series data, has been studied for decades, with one example being ARIMA. Because it is difficult to measure the extent to which noise is mixed with informative signals within rapidly fluctuating financial time series data, designing a good predictive model is not a simple task. Recently, many researchers have become interested in recurrent neural networks and attention-based neural networks, applying them in financial forecasting. There have been many attempts to utilize these methods for the capturing of long-term temporal dependencies and to select more important features in multivariate time series data in order to make accurate predictions. In this paper, we propose a new prediction framework based on deep neural networks and a trend filtering, which converts noisy time series data into a piecewise linear fashion. We reveal that the predictive performance of deep temporal neural networks improves when the training data is temporally processed by a trend filtering. To verify the effect of our framework, three deep temporal neural networks, state of the art models for predictions in time series finance data, are used and compared with models that contain trend filtering as an input feature. Extensive experiments on real-world multivariate time series data show that the proposed method is effective and significantly better than existing baseline methods.