A new discrete fractional AMAR model for finance time series forecasting by machine learning

Xin-Yi Xu, Guo-Cheng Wu and Derong Xie

Chaos, Solitons & Fractals, 2025, vol. 201, issue P2

Abstract: This study analyzes and addresses the modeling problem of short-term dependent time series. Firstly, discrete fractional calculus is proposed to enhance the performance of the classical model. A fractional Autoregressive Moving Average model is proposed. Then, the neural network is adopted to construct an optimization problem. The automatic model selection algorithm is used to find an optimal solution, along with optimal neural network architectures. Furthermore, the neural network is trained, and the parameter estimation of the proposed model for stock price forecasting is obtained. Through the robust testing, model verification, and comparison with traditional models, the experimental results demonstrate the new model’s efficiency and reliability.

Keywords: Short-term dependent time series; Fractional difference; Automatic selection algorithm; Neural network (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:201:y:2025:i:p2:s0960077925013098

DOI: 10.1016/j.chaos.2025.117296

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