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Erschienen in:
2018 | OriginalPaper | Buchkapitel
AdaBoost-LSTM Ensemble Learning for Financial Time Series Forecasting
verfasst von : Shaolong Sun, Yunjie Wei, Shouyang Wang
Erschienen in: Computational Science – ICCS 2018
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Abstract
A hybrid ensemble learning approach is proposed to forecast financial time series combining AdaBoost algorithm and Long Short-Term Memory (LSTM) network. Firstly, by using AdaBoost algorithm the database is trained to get the training samples. Secondly, the LSTM is utilized to forecast each training sample separately. Thirdly, AdaBoost algorithm is used to integrate the forecasting results of all the LSTM predictors to generate the ensemble results. Two major daily exchange rate datasets and two stock market index datasets are selected for model evaluation and comparison. The empirical results demonstrate that the proposed AdaBoost-LSTM ensemble learning approach outperforms some other single forecasting models and ensemble learning approaches. This suggests that the AdaBoost-LSTM ensemble learning approach is a highly promising approach for financial time series data forecasting, especially for the time series data with nonlinearity and irregularity, such as exchange rates and stock indexes.