Augmented bilinear network for incremental multi-stock time-series classification

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Abstract

Deep Learning models have become dominant in tackling financial time-series analysis problems, overturning conventional machine learning and statistical methods. Most often, a model trained for one market or security cannot be directly applied to another market or security due to differences inherent in the market conditions. In addition, as the market evolves over time, it is necessary to update the existing models or train new ones when new data is made available. This scenario, which is inherent in most financial forecasting applications, naturally raises the following research question: How to efficiently adapt a pre-trained model to a new set of data while retaining performance on the old data, especially when the old data is not accessible? In this paper, we propose a method to efficiently retain the knowledge available in a neural network pre-trained on a set of securities and adapt it to achieve high performance in new ones. In our method, the prior knowledge encoded in a pre-trained neural network is maintained by keeping existing connections fixed, and this knowledge is adjusted for the new securities by a set of augmented connections, which are optimized using the new data. The auxiliary connections are constrained to be of low rank. This not only allows us to rapidly optimize for the new task but also reduces the storage and run-time complexity during the deployment phase. The efficiency of our approach is empirically validated in the stock mid-price movement prediction problem using a large-scale limit order book dataset. Experimental results show that our approach enhances prediction performance as well as reduces the overall number of network parameters.

Original languageEnglish
Article number109604
JournalPattern Recognition
Volume141
DOIs
Publication statusPublished - Sept 2023
Publication typeA1 Journal article-refereed

Keywords

  • Deep learning
  • Financial time-series analysis
  • Limit order book data
  • Low rank tensor decomposition

Publication forum classification

  • Publication forum level 3

ASJC Scopus subject areas

  • Software
  • Signal Processing
  • Computer Vision and Pattern Recognition
  • Artificial Intelligence

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