Details of Research Outputs

Financial prediction persists a strenuous task in Fintech research. This paper introduces a multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA)-based deep learning forecasting model to predict a succeeding day log return via excitatory and inhibitory neuronal synapse unit (EINS) using asymmetric Hurst exponent as input features, with return and volatility increment of Shanghai Stock Exchanges Composite Index (SSECI) from 2014 to 2020 as proxies for analysis. Experimental results revealed that multifractal elements by MF-ADCCA method as input features are applicable to time series forecasting in deep learning than multifractal detrended fluctuation analysis (MF-DFA) method. Further, the proposed biologically inspired EINS model achieved satisfactory performances in effectiveness and reliability in time series prediction compared with prevalent recurrent neural networks (RNNs) such as LSTM and GRU. The contributions of this paper are to (1) introduce a moving-window MF-ADCCA method to obtain asymmetric Hurst exponent sequences used directly as an input feature for deep learning prediction and (2) evaluate performances of various asymmetric multifractal approaches for deep learning time series forecasting.