Publication Type

Journal Article

Version

publishedVersion

Publication Date

3-2024

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.

Keywords

Finance, forecasting, graph neural networks, graphs, multi-modality, Time-series

Discipline

Artificial Intelligence and Robotics | Databases and Information Systems | OS and Networks

Research Areas

Data Science and Engineering

Publication

ACM Transactions on Intelligent Systems and Technology

Volume

15

Issue

2

First Page

1

Last Page

25

ISSN

2157-6904

Identifier

10.1145/3643855

Publisher

Association for Computing Machinery (ACM)

Additional URL

https://doi.org/10.1145/3643855

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