Robust Dual Recurrent Neural Networks for Financial Time Series Prediction

Abstract

Various recurrent neural network (RNN) architectures have been implemented successfully for time series prediction in recent years.However, real-world time series data usually contain noise, which decreases the performance of the neural networks.Despite the substantial efforts to understand the pattern of time series, there is a lack of research on detecting and filtering out the inherent noise when predicting time series based on training RNN models.We propose a dual RNN strategy, namely Robust Dual Recurrent Neural Networks (RDRNN), for noisy time series prediction.We designed and trained two RNNs simultaneously and used the loss value to classify different samples into noise-free samples and noisy samples.We exchanged the small-loss samples (which were likely to be noise-free data) to fit the main pattern of time series data, and re-weighted the large-loss samples (which were likely to be noisy data) to alleviate the impact of noise.Empirical results on three popular Chinese stock market indexes demonstrate that the new learning paradigm significantly outperforms baseline approaches.Our code is available at https://jiayuheusyd.github.io/