Research on financial time series forecasting algorithm based on graph convolutional network
Xilin Duan
International Conference on Intelligent Data and Information Processing
Research Experience
- Study on Arrhythmia Classification Using Ensemble Learning and Birds of Prey-Based Optimization
Lead Undergraduate Researcher (Faculty-Guided Project) Jan. 2025 - Apr. 2025
- Analyzed the MIT-BIH arrhythmia dataset and identified severe class imbalance, with minority arrhythmia types significantly underrepresented like V-class and prone to misclassification;
- Extract category-specific feature subsets during preprocessing to enhance the model's ability to distinguish features.
- Designed an ensemble learning framework integrating Random Forest and AdaBoost to jointly balance bias and variance, improving overall robustness and accuracy;
- Introduced a Birds of Prey-Based Optimization strategy to optimize high-dimensional hyperparameters (e.g., tree depth, number of estimators, feature sampling ratios) under multiple performance objectives, including accuracy, precision, recall, and F1-score;
- Achieved an overall classification accuracy exceeding 98%, with recall for the minority V-class surpassing 97%, demonstrating effectiveness in handling imbalanced clinical datasets.
2. Study on Time-Series Forecasting in Financial Markets Using Neural Networks
Lead Undergraduate Researcher (Faculty-Guided Project) Jun. 2024 - Oct. 2024
- Conducted a comparative study of time-series forecasting models, including ARIMA, LSTM, GRU, CNN-LSTM, and Graph Convolutional Networks (GCNs), using daily trading data (2018–2023) from the CSI 300 constituent stocks;
- Designed a dynamic GCN model incorporating residual fusion of graph and temporal features to enhance predictive accuracy;
- Evaluated models on direction accuracy, RMSE, and Sharpe ratio; GCN outperformed benchmarks during volatile market periods (75.8% accuracy);
- Analyzed sectoral correlation and attention weight distributions to improve interpretability;
- Results accepted for presentation at the International Conference on Intelligent Data and Information Processing