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Temporal Implicit Multimodal Networks for Investment and Risk Management.
- Source :
-
ACM Transactions on Intelligent Systems & Technology . Apr2024, Vol. 15 Issue 2, p1-25. 25p. - Publication Year :
- 2024
-
Abstract
- Many deep learning works on financial time-series forecasting focus on predicting future prices/returns of individual assets with numerical price-related information for trading, and hence propose models designed for univariate, single-task, and/or unimodal settings. Forecasting for investment and risk management involves multiple tasks in multivariate settings: forecasts of expected returns and risks of assets in portfolios, and correlations between these assets. As different sources/types of time-series influence future returns, risks, and correlations of assets in different ways, it is also important to capture time-series from different modalities. Hence, this article addresses financial time-series forecasting for investment and risk management in a multivariate, multitask, and multimodal setting. Financial time-series forecasting, however, is challenging due to the low signal-to-noise ratios typical in financial time-series, and as intra-series and inter-series relationships of assets evolve across time. To address these challenges, our proposed Temporal Implicit Multimodal Network (TIME) model learns implicit inter-series relationship networks between assets from multimodal financial time-series at multiple time-steps adaptively. TIME then uses dynamic network and temporal encoding modules to jointly capture such evolving relationships, multimodal financial time-series, and temporal representations. Our experiments show that TIME outperforms other state-of-the-art models on multiple forecasting tasks and investment and risk management applications. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 21576904
- Volume :
- 15
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- ACM Transactions on Intelligent Systems & Technology
- Publication Type :
- Academic Journal
- Accession number :
- 176468808
- Full Text :
- https://doi.org/10.1145/3643855