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| Title: | 波形時間序列經由小波轉換應用HuBERT於外匯市場預測
Time Series Data as Waveform Input with Wavelet Transform Using HuBERT on Foreign Exchange Market Prediction |
| Authors: | 黃乾唐
Huang, Chien-Tang |
| Contributors: | 蔡炎龍
Tsai, Yen-Lung
黃乾唐
Huang Chien-Tang |
| Keywords: | Transformer
深度學習
語音辨識
HuBERT
貨幣對
小波轉換
外匯市場
Transformer
Deep Learning
Speech Recognition
HuBERT
Currency Pair
Foreign Exchange Market
Wavelet Transform |
| Date: | 2023 |
| Issue Date: | 2023-05-02 15:04:55 (UTC+8) |
| Abstract: | 近期在人工智慧研究中，Transformer，一種基於自注意力機制架構的模型在整個人工智慧研究裡面舉足輕重，最初是應用在自然語言處理上，有名的語言模型像是BERT或GPT等等都是使用此架；並且被廣泛的應用於其他研究方面，像是圖像分析、語音辨識等等。由於想解決人工資料標籤的問題，自監督式學習成為深度學習中一個很重要的研究方法；特徵學習是讓模型學習到資料的潛在向量，而無需像傳統方法去學習標籤。在這篇文章中，我們將使用Hidden Unit BERT (HuBERT) 一種基於自監督學習方法的語音辨識模型，應用於外匯市場的預測上。在資料處理方面，我們還採用小波轉換去比較，是否在價格資料上也擁有去除雜訊的效果。結果顯示HuBERT不僅在語音辨識上表現出色，而且在數值型時間序列資料上也有相當的表現。
Transformer, a self-attention-based architecture, has become the state-of-the-art model for most AI research. Initially used for natural language processing tasks, it has since been applied to other fields such as computer vision and speech, with models such as BERT and GPT based on it exhibiting exceptional performance. With the challenge of data labeling, self-supervised learning has emerged as an important approach in deep learning research, enabling models to learn latent vectors of data without the need for end-to-end labeling targets. In this paper, we explore the use of Hidden Units BERT (HuBERT), a speech representation model trained with a self-supervised approach, on forex data, which is numerical. We also incorporate Wavelet Transform to denoise the data, comparing its performance to that of numerical data. Our results show that HuBERT not only performs exceptionally well on speech tasks but also exhibits promising results on numerical time series data. |
| Reference: | [1] Mohammad Zoynul Abedin, Mahmudul Hasan Moon, M Kabir Hassan, and Petr Hajek.
Deep learning-based exchange rate prediction during the covid-19 pandemic. Annals of Operations Research, pages 1–52, 2021.
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| Description: | 碩士
國立政治大學
應用數學系
109751001 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109751001 |
| Data Type: | thesis |
| Appears in Collections: | [應用數學系] 學位論文
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