Abstract
In order to improve the accuracy of stock prediction, people major in computer science and technology begin to apply their techniques to the financial market. In the financial market, there are many similar but not simultaneous fluctuations caused by different reaction efficiencies to the same event. Therefore, quickly reflected stocks’ trends could improve trend predictions of similar slowly reflected stocks. To find the temporal correlation between stocks in the same securities exchange, a financial time series classification approach based on aligning change points is proposed to help investors discover hidden temporal correlations, which could improve stock trend prediction, to adjust portfolios. Firstly, the securities index of the securities exchange is chosen to be the benchmark, and the important change points are screened out to mark the essential fluctuations. Secondly, the points of all the constituent stocks of the same securities index which could be aligned to the important change points of the index are screened out and aligned through the aligning algorithm. Then the number of aligned stocks’ points in different types helps to divide stocks into lead class and lag class. Temporal correlation and time difference are obtained through the temporal correlation analysis algorithm. Finally, four different prediction models are used to verify whether the classification information and time difference obtained from temporal correlation analysis could improve the stock trend prediction. The results show that our work could reveal potential connections among stocks as a bridge to introduce valid exogenous information, which is promising for stock trend prediction studies.
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Data availability
The stock data used in this article is collected by Tushare Pro (https://tushare.pro/).
Code availability
All code was written in Python.
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Acknowledgements
This work is supported by the National Natural Science Foundation of China [grant number 61573118]; the Science and Technology Planning Project of Shenzhen Municipality [grant number JCYJ20190806112210067].
Funding
This work was supported by the National Natural Science Foundation of China [Grant No.: 61573118]; the Science and Technology Planning Project of Shenzhen Municipality [Grant No.: JCYJ20190806112210067].
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Conceptualization: [ML]; Methodology: [ML]; Formal analysis and investigation: [ML], [SW]; Software: [ML]; Writing—original draft preparation: [ML]; Writing—review and editing: [ML], [XW], [SW]; Funding acquisition: [XW]; Resources: [ML], [XW]; Supervision: [XW].
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Liang, M., Wang, X. & Wu, S. Improving stock trend prediction through financial time series classification and temporal correlation analysis based on aligning change point. Soft Comput 27, 3655–3672 (2023). https://doi.org/10.1007/s00500-022-07630-7
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DOI: https://doi.org/10.1007/s00500-022-07630-7
Keywords
- Financial time series
- Temporal correlation
- Align change point
- Stock trend prediction