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Financial Time-Series Forecasting: Towards Synergizing Performance And Interpretability Within a Hybrid Machine Learning Approach

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  • Shun Liu
  • Kexin Wu
  • Chufeng Jiang
  • Bin Huang
  • Danqing Ma

Abstract

In the realm of cryptocurrency, the prediction of Bitcoin prices has garnered substantial attention due to its potential impact on financial markets and investment strategies. This paper propose a comparative study on hybrid machine learning algorithms and leverage on enhancing model interpretability. Specifically, linear regression(OLS, LASSO), long-short term memory(LSTM), decision tree regressors are introduced. Through the grounded experiments, we observe linear regressor achieves the best performance among candidate models. For the interpretability, we carry out a systematic overview on the preprocessing techniques of time-series statistics, including decomposition, auto-correlational function, exponential triple forecasting, which aim to excavate latent relations and complex patterns appeared in the financial time-series forecasting. We believe this work may derive more attention and inspire more researches in the realm of time-series analysis and its realistic applications.

Suggested Citation

  • Shun Liu & Kexin Wu & Chufeng Jiang & Bin Huang & Danqing Ma, 2023. "Financial Time-Series Forecasting: Towards Synergizing Performance And Interpretability Within a Hybrid Machine Learning Approach," Papers 2401.00534, arXiv.org.
    • Handle: RePEc:arx:papers:2401.00534
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    File URL: http://arxiv.org/pdf/2401.00534
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    References listed on IDEAS

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