Logo do repositório
 
Logótipo do projeto
Projeto de investigação

Sem título

Apenas metadados

Financiador

Organização

Autores

Publicações

Ensemble Methods for Stock Market Prediction
Publication . Bravo, Jorge Miguel; Information Management Research Center (MagIC) - NOVA Information Management School; NOVA Information Management School (NOVA IMS)
Forecasting stock market prices and returns is particularly difficult, given the nonlinearity, volatility, and complexity of the time series and the generally accepted, semi-strong form of market efficiency. Standard forecasting methods tend to follow a “winner-take-all” approach by which, for each series, a single believed to be the best method is chosen from a pool of competing times series, statistical learning, or machine learning methods. To cope with conceptual uncertainty and improve the accuracy of prediction in economics and finance time series forecasting, recent research investigated the use of dynamic model combinations. This paper investigates the performance of model combination approaches in financial time series forecasting. The set of methods includes a recent meta-learning strategy called Arbitrated Dynamic Ensemble (ADE), which is based on Arbitrating but dynamically combines heterogeneous learners by creating an embedded meta-learner for each base algorithm that specializes them across the time series. The findings show that: i) the ADE methodology presents a better average rank compared to widely used model combination approaches, including the original Arbitrating approach, Stacking for time series, Simple averaging, Fixed Share, or weighted adaptive combination of experts; ii) the ADE approach benefits from combining the base-learners as opposed to selecting the best forecasting model or using all experts; iii) the ADE method is sensitive to the aggregation mechanism.
2025-01-01Documento de conferência Acesso aberto Ver mais

Unidades organizacionais

Descrição

Palavras-chave

Contribuidores

Financiadores

Entidade financiadora

Fundação para a Ciência e a Tecnologia

Programa de financiamento

Concurso de avaliação no âmbito do Programa Plurianual de Financiamento de Unidades de I&D (2017/2018) - Financiamento Base

Número da atribuição

UIDB/00315/2020

ID