2:00 PM - 2:20 PM
[2J2-03] Classification by Time-Series Gradient Boosting Tree
Application to Financial Time-Series Prediciton
Keywords:Time-Series Decision Tree, Gradient Boosting Tree, Time-Series Gradient Boosting Tree, Stock Price Prediction
Our time-series gradient boosting tree has weak learners with time-series and cross-sectional attribute in its internal node, and split examples based on dissimilarity between a pair of time-series or impurity between cross-sectional attributes.
Dissimilarity between a pair of time-series is defined by dynamic time warping method or in financial time-seires by indexing dynamic time warping method.
Experimental results with stock price prediction confirm that our method constructs interpretable and accurate decision trees.