Developing a Deep Learning Framework with Two-Stage Feature Selection for Multivariate Financial Time Series Forecasting
Expert Systems with Applications(2020)
摘要
•Propose a novel feature selection method for dimensionality reduction.•Develop an improved multi-objective optimization algorithm.•Establish a forecasting framework based on feature selection and deep learning.•Experimental results demonstrate the effectiveness of the framework.
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关键词
Deep learning,Multivariate financial time series,Forecasting,Feature selection,Multi-objective optimization
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