Python for Finance Cookbook

Convolutional neural networks for time series forecasting

Convolutional neural networks (CNN) were developed and remained very popular in the image classification domain. However, they can also be applied to 1-dimensional problems, such as predicting the next value in the sequence, be it a time series or the next word in a sentence.

In the following diagram, we present a simplified schema of a 1D CNN:

Based on the preceding diagram, we briefly describe the elements of a typical CNN architecture:

• Convolutional layer: The goal of this layer is to apply convolutional filtering to extract potential features.
• Pooling layer: This layer reduces ...