MegazordNet: combining statistical and machine learning standpoints for time series forecasting
Abstract
Forecasting financial time series is considered to be a difficult task due to the chaotic feature of the series. Statistical approaches have shown solid results in some specific problems such as predicting market direction and single-price of stocks; however, with the recent advances in deep learning and big data techniques, new promising options have arises to tackle financial time series forecasting. Moreover, recent literature has shown that employing a combination of statistics and machine learning may improve accuracy in the forecasts in comparison to single solutions. Taking into consideration the mentioned aspects, in this work, we proposed the MegazordNet, a framework that explores statistical features within a financial series combined with a structured deep learning model for time series forecasting. We evaluated our approach predicting the closing price of stocks in the S&P 500 using different metrics, and we were able to beat single statistical and machine learning methods.
Cite
@article{arxiv.2107.01017,
title = {MegazordNet: combining statistical and machine learning standpoints for time series forecasting},
author = {Angelo Garangau Menezes and Saulo Martiello Mastelini},
journal= {arXiv preprint arXiv:2107.01017},
year = {2021}
}