{"title":"综合图表相似性和多持续性预测股价转折点","authors":"Shangzhe Li;Yingke Liu;Xueyuan Chen;Junran Wu;Ke Xu","doi":"10.1109/TKDE.2024.3444814","DOIUrl":null,"url":null,"abstract":"Forecasting financial data plays a crucial role in financial market. Relying solely on prices or price trends as prediction targets often leads to a vast of invalid transactions. As a result, researchers have increasingly turned their attention to turning points as the prediction target. Surprisingly, existing methods have largely overlooked the role of technical charts, despite turning points being closely related to the technical charts. Recently, several researchers have attempted to utilize chart information via converting price sequences into images for turning point forecasting, but robustness and convergence problems arise. To address these challenges and enhance the turning point predictions, this article introduces a new method known as MPCNet. Specifically, we first transform the price series into a graph structure using chart similarity to robustly extract valuable information from technical charts. Additionally, we introduce the multipersistence topology tool to accurately predict stock turning points and provide convergence guarantee. Experimental results demonstrate the significant superiority of our proposed model over existing methods. Furthermore, based on additional performance evaluations using real stock data, MPCNet consistently achieves the highest average return during the transaction backtesting period. Meanwhile, we provide empirical validation of robustness and theoretical analysis to confirm its convergence, establishing it as a superior tool for financial forecasting.","PeriodicalId":13496,"journal":{"name":"IEEE Transactions on Knowledge and Data Engineering","volume":"36 12","pages":"8251-8266"},"PeriodicalIF":8.9000,"publicationDate":"2024-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Forecasting Turning Points in Stock Price by Integrating Chart Similarity and Multipersistence\",\"authors\":\"Shangzhe Li;Yingke Liu;Xueyuan Chen;Junran Wu;Ke Xu\",\"doi\":\"10.1109/TKDE.2024.3444814\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Forecasting financial data plays a crucial role in financial market. Relying solely on prices or price trends as prediction targets often leads to a vast of invalid transactions. As a result, researchers have increasingly turned their attention to turning points as the prediction target. Surprisingly, existing methods have largely overlooked the role of technical charts, despite turning points being closely related to the technical charts. Recently, several researchers have attempted to utilize chart information via converting price sequences into images for turning point forecasting, but robustness and convergence problems arise. To address these challenges and enhance the turning point predictions, this article introduces a new method known as MPCNet. Specifically, we first transform the price series into a graph structure using chart similarity to robustly extract valuable information from technical charts. Additionally, we introduce the multipersistence topology tool to accurately predict stock turning points and provide convergence guarantee. Experimental results demonstrate the significant superiority of our proposed model over existing methods. Furthermore, based on additional performance evaluations using real stock data, MPCNet consistently achieves the highest average return during the transaction backtesting period. Meanwhile, we provide empirical validation of robustness and theoretical analysis to confirm its convergence, establishing it as a superior tool for financial forecasting.\",\"PeriodicalId\":13496,\"journal\":{\"name\":\"IEEE Transactions on Knowledge and Data Engineering\",\"volume\":\"36 12\",\"pages\":\"8251-8266\"},\"PeriodicalIF\":8.9000,\"publicationDate\":\"2024-08-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"IEEE Transactions on Knowledge and Data Engineering\",\"FirstCategoryId\":\"94\",\"ListUrlMain\":\"https://ieeexplore.ieee.org/document/10638234/\",\"RegionNum\":2,\"RegionCategory\":\"计算机科学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"IEEE Transactions on Knowledge and Data Engineering","FirstCategoryId":"94","ListUrlMain":"https://ieeexplore.ieee.org/document/10638234/","RegionNum":2,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE","Score":null,"Total":0}
Forecasting Turning Points in Stock Price by Integrating Chart Similarity and Multipersistence
Forecasting financial data plays a crucial role in financial market. Relying solely on prices or price trends as prediction targets often leads to a vast of invalid transactions. As a result, researchers have increasingly turned their attention to turning points as the prediction target. Surprisingly, existing methods have largely overlooked the role of technical charts, despite turning points being closely related to the technical charts. Recently, several researchers have attempted to utilize chart information via converting price sequences into images for turning point forecasting, but robustness and convergence problems arise. To address these challenges and enhance the turning point predictions, this article introduces a new method known as MPCNet. Specifically, we first transform the price series into a graph structure using chart similarity to robustly extract valuable information from technical charts. Additionally, we introduce the multipersistence topology tool to accurately predict stock turning points and provide convergence guarantee. Experimental results demonstrate the significant superiority of our proposed model over existing methods. Furthermore, based on additional performance evaluations using real stock data, MPCNet consistently achieves the highest average return during the transaction backtesting period. Meanwhile, we provide empirical validation of robustness and theoretical analysis to confirm its convergence, establishing it as a superior tool for financial forecasting.
期刊介绍:
The IEEE Transactions on Knowledge and Data Engineering encompasses knowledge and data engineering aspects within computer science, artificial intelligence, electrical engineering, computer engineering, and related fields. It provides an interdisciplinary platform for disseminating new developments in knowledge and data engineering and explores the practicality of these concepts in both hardware and software. Specific areas covered include knowledge-based and expert systems, AI techniques for knowledge and data management, tools, and methodologies, distributed processing, real-time systems, architectures, data management practices, database design, query languages, security, fault tolerance, statistical databases, algorithms, performance evaluation, and applications.