KMITL

Permanent URI for this communityhttps://dspace.kmitl.ac.th/handle/123456789/1

Browse

Settings

Access type: UnknownAuthor: search.filters.author.Feng, Ling

Search Results

Now showing 1 - 3 of 3
  • Loading...
    Thumbnail Image
    Some of the metrics are blocked by your 
    consent settings
    Item type:Publication,
    Time Series Forecasting Using Transfer Learning with an Attention-Revamped Transformer: A Case Study of Financial Instruments
    (2025-12-01)
    Feng, Ling
    ;
    Sinchai, Ananta
    Accurate financial time series forecasting is essential for informed investment and risk management decisions. Traditional methods, including statistical techniques such as SMA, ARIMA, VAR, and LASSO, and deep learning models like LSTM and Transformer, often fall short of capturing the complex seasonal and cyclical dynamics inherent in financial data. To overcome the noted shortcomings, this study introduces a transfer learning approach utilizing an enhanced Transformer model with correlation-based attention mechanisms. This proposed model significantly improves its capacity to capture long-term dependencies and perform robust cross-market predictions. Initially trained on the Dow Jones Index, it demonstrates superior transferability to diverse asset classes, including stock indices, commodities, and cryptocurrencies. Experimental evaluations across multiple metrics, including MSE, MAE, MHD, and R<sup>2</sup>, reveal that the proposed model consistently outperforms benchmarks. Notably, it achieves outstanding predictive accuracy in BTC (MSE: 0.0352) and SET (MSE: 0.1701), establishing a strong foundation for advanced transfer learning applications in financial forecasting across varied markets.
  • Loading...
    Thumbnail Image
    Some of the metrics are blocked by your 
    consent settings
    Item type:Publication,
    Deep context-attentive transformer transfer learning for financial forecasting
    (2025-01-01)
    Feng, Ling
    ;
    Sinchai, Ananta
    This study presents 2CAT (CNN-Correlation-based Attention Transformer), a deep learning model for financial time-series forecasting. The model integrates signal decomposition, convolutional layers, and correlation-based attention mechanisms to capture temporal patterns. A transfer learning framework is incorporated to enhance generalization across markets through pretraining, encoder freezing, and fine-tuning. Evaluation on six stock indices—Dow Jones Industrial Average (DJIA), Nikkei 225 (N225), Hang Seng Index (HSI), Shanghai Stock Exchange (SSE), Bombay Stock Exchange (BSE), and the Stock Exchange of Thailand (SET)—demonstrates strong predictive accuracy. On DJIA, 2CAT records an MSE of 0.0655, MAE of 0.2023, and R2 of 0.9169, outperforming Deep-Transformer, which yields an MSE of 0.1360 and R2 of 0.8274. The SET index, which posed challenges for previous models, demonstrates notable improvement with 2CAT, achieving an R2 of 0.9094. Wilcoxon signed-rank test confirms statistically significant gains in non-transfer learning scenarios at the 0.05 level. Transfer learning experiments reveal statistically significant improvements, reinforcing the feasibility of cross-market knowledge transfer. An ablation study highlights the impact of architectural refinements and rotary positional encoding, while prediction horizon analysis confirms stable forecasting performance. These results establish 2CAT as a robust financial forecasting framework adaptable to diverse market conditions.
  • Loading...
    Thumbnail Image
    Some of the metrics are blocked by your 
    consent settings
    Item type:Publication,
    Transfer learning model for cash-instrument prediction adopting a Transformer derivative
    (2024-03-01)
    Feng, Ling
    ;
    Sinchai, Ananta
    Investors aiming for high market returns must accurately predict the prices of various cash instruments. However, making accurate predictions is challenging due to the complex cyclic and trending characteristic of markets, characterized by high volatility and unpredictable fluctuations. Furthermore, many studies overlook how interactions between different markets affect price movements. To address these problems, this research introduces a deep transfer-learning approach derived from the Transformer model, named the rotary-positional encoding autocorrelation Transformer (RAT). Unlike traditional methods, the RAT employs autocorrelation instead of self-attention to more effectively capture periodic features, while rotary-positional encoding preserves both the absolute and relative positioning within sequences to enhance trend understanding. Through transfer learning, the RAT model extracts deep features from a source domain and applies them to a target domain, demonstrating superior performance over LSTM, CNN-LSTM, gated recurrent units (GRUs), and Transformer models in multi-day predictions across 12 cash-instrument datasets. It achieved a substantial increase in accuracy, with a 35.83% reduction in mean squared error (MSE), a 23.95% reduction in mean absolute error (MAE), and a 32.63% increase in the coefficient of determination (R2). This study validates the RAT model's effectiveness in predicting financial instrument prices.