International Journal of Computer Theory and Engineering

Abstract

Machine learning in financial Time Series Forecasting (TSF) has a clear application in investment, where predicting stock price movements can inform investment strategies. The Transformer model has emerged as a powerful tool for this purpose, yet significant research gaps remain. Existing studies often focus on a set of stocks without modeling stock behavior within specific sectors. Notably, there is a lack of research on the Consumer Cyclicals (CC) industry, which includes sectors such as automotive, housing, entertainment, and retail. These industries are highly sensitive to economic conditions, making them crucial for understanding broader economic impacts on stock behavior. Furthermore, we observe that many existing works neglect broader economic contexts, which is particularly important for CC analysis due to its sensitivity to economic trends. Additionally, previous studies on financial Transformer models typically use model tokens as feature vectors of multiple variates at a single timestep. This approach may not adequately capture the important relationships between dataset variates for long-term economic trends. To this end, we present the first study on financial TSF for the CC sector along with economic data. To support the research, we propose the first public benchmark dataset for the CC sector, consisting of traditional stock price time series, technical indicators, and temporal data, enriched with economic indicators. Next, we introduce an alternative tokenization approach to enhance the model’s ability to capture long-term trends by preserving information about nonlinear dependencies between dataset variates. We hypothesize that this approach helps capture long-term signals more effectively. Through a comprehensive data ablation study and benchmark testing, we demonstrate that incorporating economic indicators improves the accuracy of longer-term predictions for the CC sector, and the new tokenization method enhances the performance of Transformer models. The dataset and code are made publicly available at: https://github.com/KasperKrawczyk/econtrans_dataset