Hidformer: Transformer-Style Neural Network in Stock Price Forecasting

Kamil {\L}. Szyd{\l}owski and Jaros{\l}aw A. Chudziak

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Abstract: This paper investigates the application of Transformer-based neural networks to stock price forecasting, with a special focus on the intersection of machine learning techniques and financial market analysis. The evolution of Transformer models, from their inception to their adaptation for time series analysis in financial contexts, is reviewed and discussed. Central to our study is the exploration of the Hidformer model, which is currently recognized for its promising performance in time series prediction. The primary aim of this paper is to determine whether Hidformer will also prove itself in the task of stock price prediction. This slightly modified model serves as the framework for our experiments, integrating the principles of technical analysis with advanced machine learning concepts to enhance stock price prediction accuracy. We conduct an evaluation of the Hidformer model's performance, using a set of criteria to determine its efficacy. Our findings offer additional insights into the practical application of Transformer architectures in financial time series forecasting, highlighting their potential to improve algorithmic trading strategies, including human decision making.

Date: 2024-12
New Economics Papers: this item is included in nep-big, nep-cmp and nep-for
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Published in Torra Vicenc, Narukawa Yasuo, Kikuchi Hiroaki (eds.): USB Proceedings The 21th International Conference on Modeling Decisions for Artificial Intelligence MDAI 2024, Tokyo, August 2024, ISBN 978-91-531-0238-0

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2412.19932

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