2021 IEEE International Conference on Acoustics, Speech and Signal Processing

6-11 June 2021 • Toronto, Ontario, Canada

Extracting Knowledge from Information

2021 IEEE International Conference on Acoustics, Speech and Signal Processing

6-11 June 2021 • Toronto, Ontario, Canada

Extracting Knowledge from Information

Technical Program

Paper Detail

Paper IDMLSP-20.3
Paper Title ATTENTION ON ATTENTION SPARSE DENSE CONVOLUTIONAL NETWORK FOR FINANCIAL SIGNAL PROCESSING
Authors Tianlei Zhu, Jiawei Li, Tsinghua University, China; Xinji Liu, Shenzhen Wukong Investment Management Co.Ltd, China; Yong Jiang, Shu-Tao Xia, Tsinghua University, China
SessionMLSP-20: Attention and Autoencoder Networks
LocationGather.Town
Session Time:Wednesday, 09 June, 15:30 - 16:15
Presentation Time:Wednesday, 09 June, 15:30 - 16:15
Presentation Poster
Topic Machine Learning for Signal Processing: [MLR-APPL] Applications of machine learning
IEEE Xplore Open Preview  Click here to view in IEEE Xplore
Virtual Presentation  Click here to watch in the Virtual Conference
Abstract Financial signal processing is a matter of great concern in FinTech. Traditionally, recurrent networks are often used to model time series, while the latest research shows that convolutional networks, especially temporal convolutional networks (TCNs), are also powerful and effective for a large number of sequence modeling tasks. The temporal convolutional network uses dilation convolution to expand the receptive field, resulting in very sparse connections in high network layers and no connection to neighbor points. Considered that short-term performance often has a more significant influence on the assets price movement, we suggest that TCNs are too sparse for financial signal processing. For a better solution, we propose a novel Attention on Attention Sparse Dense Convolutional Network (AoA-SDCN), which strengthens time decay characteristics by adding dense connections at close points. Moreover, we use the Attention on Attention mechanism to improve the performance further. Experimental results show that these techniques are effective for financial signal processing. The AoA-SDCN significantly outperforms state-of-the-art methods on Chinese commodity futures and stock datasets.