Financial Time Series Forecasting using CNN and Transformer
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Abstract (arXiv)
Time series forecasting is important across various domains for decision-making. In particular, financial time series such as stock prices can be hard to predict as it is difficult to model short-term and long-term temporal dependencies between data points. Convolutional Neural Networks (CNN) are good at capturing local patterns for modeling short-term dependencies. However, CNNs cannot learn long-term dependencies due to the limited receptive field. Transformers on the other hand are capable of learning global context and long-term dependencies. In this paper, we propose to harness the power of CNNs and Transformers to model both short-term and long-term dependencies within a time series, and forecast if the price would go up, down or remain the same (flat) in the future. In our experiments, we demonstrated the success of the proposed method in comparison to commonly adopted statistical and deep learning methods on forecasting intraday stock price change of S&P 500 constituents.
Key facts. Cited by 15 papers in the map (data through 14 Oct 2026). Builds on 9 of its 24 references that are in the map. First posted on arXiv 11 Apr 2023.
Builds on
9 of 24 references.
References · 9
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Citing papers per year: 2023: 1; 2024: 6; 2025: 5; 2026: 3.
15 papers.
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- 2025Population Aware Diffusion for Time Series Generationcited by 16
- 2024TradExpert: Revolutionizing Trading with Mixture of Expert LLMscited by 12
- 2024LSR-IGRU: Stock Trend Prediction Based on Long Short-Term Relationships and Improved GRUcited by 11
- 2024From Pixels to Predictions: Spectrogram and Vision Transformer for Better Time Series Forecastingcited by 9
- 2024Quantformer: from attention to profit with a quantitative transformer trading strategycited by 6
- 2024MCI-GRU: Stock Prediction Model Based on Multi-Head Cross-Attention and Improved GRUcited by 4
- 2023A quantitative fusion strategy of stock picking and timing based on Particle Swarm Optimized-Back Propagation Neural Network and Multivariate Gaussian-Hidden Markov Modelcited by 0
- 2024SwiftQueue: Optimizing Low-Latency Applications with Swift Packet Queuingcited by 0
- 2025A Novel Loss Function for Deep Learning Based Daily Stock Trading Systemcited by 0
- 2025Temporal Window Smoothing of Exogenous Variables for Improved Time Series Predictioncited by 0
- 2025TABL-ABM: A Hybrid Framework for Synthetic LOB Generationcited by 0
- 2025Towards Explainable and Reliable AI in Financecited by 0
- 2026Emergent Latent-State Computation under Stochastic Volatility28 Jul 2026
- 2026ARTEMIS: A Neuro Symbolic Framework for Economically Constrained Market Dynamics18 Mar 2026
- 2026An Interpretable Generative Framework for Anomaly Detection in High-Dimensional Financial Time Series9 Mar 2026
- 2025Towards Explainable and Reliable AI in Finance30 Oct 2025
- 2025TABL-ABM: A Hybrid Framework for Synthetic LOB Generation26 Oct 2025
- 2025Temporal Window Smoothing of Exogenous Variables for Improved Time Series Prediction4 Jul 2025
- 2025A Novel Loss Function for Deep Learning Based Daily Stock Trading System20 Feb 2025
- 2025Population Aware Diffusion for Time Series Generation1 Jan 2025
- 2024TradExpert: Revolutionizing Trading with Mixture of Expert LLMs16 Oct 2024
- 2024SwiftQueue: Optimizing Low-Latency Applications with Swift Packet Queuing8 Oct 2024
- 2024MCI-GRU: Stock Prediction Model Based on Multi-Head Cross-Attention and Improved GRU25 Sep 2024
- 2024LSR-IGRU: Stock Trend Prediction Based on Long Short-Term Relationships and Improved GRU26 Aug 2024
3 more
- 2024Quantformer: from attention to profit with a quantitative transformer trading strategy30 Mar 2024
- 2024From Pixels to Predictions: Spectrogram and Vision Transformer for Better Time Series Forecasting17 Mar 2024
- 2023A quantitative fusion strategy of stock picking and timing based on Particle Swarm Optimized-Back Propagation Neural Network and Multivariate Gaussian-Hidden Markov Model10 Dec 2023
- 2025Population Aware Diffusion for Time Series Generationcited by 16
- 2025Population Aware Diffusion for Time Series Generation1 Jan 2025
- 2024LSR-IGRU: Stock Trend Prediction Based on Long Short-Term Relationships and Improved GRUcited by 11
- 2024From Pixels to Predictions: Spectrogram and Vision Transformer for Better Time Series Forecastingcited by 9
- 2024Quantformer: from attention to profit with a quantitative transformer trading strategycited by 6
- 2024MCI-GRU: Stock Prediction Model Based on Multi-Head Cross-Attention and Improved GRUcited by 4
- 2023A quantitative fusion strategy of stock picking and timing based on Particle Swarm Optimized-Back Propagation Neural Network and Multivariate Gaussian-Hidden Markov Modelcited by 0
- 2024SwiftQueue: Optimizing Low-Latency Applications with Swift Packet Queuingcited by 0
- 2025A Novel Loss Function for Deep Learning Based Daily Stock Trading Systemcited by 0
- 2025Temporal Window Smoothing of Exogenous Variables for Improved Time Series Predictioncited by 0
- 2025TABL-ABM: A Hybrid Framework for Synthetic LOB Generationcited by 0
- 2025Towards Explainable and Reliable AI in Financecited by 0
- 2026An Interpretable Generative Framework for Anomaly Detection in High-Dimensional Financial Time Seriescited by 0
- 2026ARTEMIS: A Neuro Symbolic Framework for Economically Constrained Market Dynamicscited by 0
- 2026ARTEMIS: A Neuro Symbolic Framework for Economically Constrained Market Dynamics18 Mar 2026
- 2026An Interpretable Generative Framework for Anomaly Detection in High-Dimensional Financial Time Series9 Mar 2026
- 2025Towards Explainable and Reliable AI in Finance30 Oct 2025
- 2025TABL-ABM: A Hybrid Framework for Synthetic LOB Generation26 Oct 2025
- 2025Temporal Window Smoothing of Exogenous Variables for Improved Time Series Prediction4 Jul 2025
- 2025A Novel Loss Function for Deep Learning Based Daily Stock Trading System20 Feb 2025
- 2024SwiftQueue: Optimizing Low-Latency Applications with Swift Packet Queuing8 Oct 2024
- 2024MCI-GRU: Stock Prediction Model Based on Multi-Head Cross-Attention and Improved GRU25 Sep 2024
- 2024LSR-IGRU: Stock Trend Prediction Based on Long Short-Term Relationships and Improved GRU26 Aug 2024
- 2024Quantformer: from attention to profit with a quantitative transformer trading strategy30 Mar 2024
- 2024From Pixels to Predictions: Spectrogram and Vision Transformer for Better Time Series Forecasting17 Mar 2024
- 2023A quantitative fusion strategy of stock picking and timing based on Particle Swarm Optimized-Back Propagation Neural Network and Multivariate Gaussian-Hidden Markov Model10 Dec 2023