articleApplied Soft ComputingFeb 3, 2024HYBRID OA

Grid search with a weighted error function: Hyper-parameter optimization for financial time series forecasting

YZYuan ZhaoWZWeiguo ZhangXLXiufeng Liu

South China University of Technology · Shenzhen University · +1 more institution

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Abstract

Financial time series forecasting is a difficult task due to the complexity and volatility of financial markets. Machine learning models have been applied to tackle this task, but finding their optimal hyper-parameters with less time and ensuring the prediction accuracy of models are still significant challenges. Existing methods such as GridSearch with cross-validation (GridsearchCV) for optimizing the hyper-parameters are time-consuming for complex models or large search spaces, and they do not ensure that the model has excellent predictive accuracy. To address these challenges, we propose a novel method called GridsearchWEF that uses grid search with a weighted error function. This method aims to reduce the…

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127
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Topics & keywords

Topics
Keywords
  • Hyperparameter optimization
  • Computer science
  • Machine learning
  • Artificial intelligence
  • Predictive modelling
  • Lasso (programming language)
  • Time series
  • Grid
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