An enhanced Transformer framework with incremental learning for online stock price prediction

Yiming Qian

PLOS ONE, 2025, vol. 20, issue 1, 1-19

Abstract: To address the limitations of existing stock price prediction models in handling real-time data streams—such as poor scalability, declining predictive performance due to dynamic changes in data distribution, and difficulties in accurately forecasting non-stationary stock prices—this paper proposes an incremental learning-based enhanced Transformer framework (IL-ETransformer) for online stock price prediction. This method leverages a multi-head self-attention mechanism to deeply explore the complex temporal dependencies between stock prices and feature factors. Additionally, a continual normalization mechanism is employed to stabilize the data stream, enhancing the model’s adaptability to dynamic changes. To ensure that the model retains prior knowledge while integrating new information, a time series elastic weight consolidation (TSEWC) algorithm is introduced to enable efficient incremental training with incoming data. Experiments conducted on five publicly available datasets demonstrate that the proposed method not only effectively captures the temporal information in the data but also fully exploits the correlations among multi-dimensional features, significantly improving stock price prediction accuracy. Notably, the method shows robust performance in coping with non-stationary and frequently changing financial market data.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0316955

DOI: 10.1371/journal.pone.0316955

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