Developing a deep learning framework with two-stage feature selection for multivariate financial time series forecasting

•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. Intelligent financi...

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Veröffentlicht in:	Expert systems with applications 2020-06, Vol.148, p.113237, Article 113237
Hauptverfasser:	Niu, Tong, Wang, Jianzhou, Lu, Haiyan, Yang, Wendong, Du, Pei
Format:	Artikel
Sprache:	eng
Schlagworte:	Decision making Deep learning Economic forecasting Error correction Error correction & detection Feature selection Forecasting Machine learning Mathematical models Multi-objective optimization Multivariate analysis Multivariate financial time series Nonlinearity Sensitivity analysis Time series
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