Precious Metal Price Prediction Based on Deep Regularization Self-Attention Regression

Junhao Zhou, Zhanhong He, Ya Nan Song*, Hao Wang, Xiaoping Yang, Wenjuan Lian, Hong Ning Dai

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review

10 Citations (Scopus)

Abstract

It is non-trivial to predict the prices of precious metals since a number of factors can affect the fluctuations of precious metal prices. Either parametric models or machine learning models cannot accurately forecast the precious metal prices. Though deep learning approaches show their strengths in extracting key features from complicated data, they have the limitations of learning localization and losing some temporal and spatial features. The recent advances in attention mechanisms bring the opportunities to overcome the limitation of deep learning models. In this paper, we originally propose a Regularization Self-Attention Regression Model for precious metal price prediction. In particular, the proposed RSAR model consists of convolutional neural network (CNN) component and Long Short-Term Memory Neural Networks (LSTM) component. Integrating with self-attention mechanism, this model can extract both spatial and temporal features from precious metal price data. Meanwhile, the proper configuration of regularization functions can also lead to the further performance improvement. Extensive experiments on realistic precious metal price dataset show that our proposed approach outperforms other conventional machine learning and deep learning methods.

Original languageEnglish
Pages (from-to)2178-2187
Number of pages10
JournalIEEE Access
Volume8
DOIs
Publication statusPublished - Dec 2019

Scopus Subject Areas

  • Computer Science(all)
  • Materials Science(all)
  • Engineering(all)
  • Electrical and Electronic Engineering

User-Defined Keywords

  • attention mechanism
  • convolutional neural network
  • deep learning
  • financial data analysis
  • Long short-term memory

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