A novel time series prediction method based on pooling compressed sensing echo state network and its application in stock market.

In the prediction of time series, the echo state network (ESN) exhibits exclusive strengths and a unique training structure. Based on ESN model, a pooling activation algorithm consisting noise value and adjusted pooling algorithm is proposed to enrich the update strategy of the reservoir layer in ESN. The algorithm optimizes the distribution of reservoir layer nodes. And the nodes set will be more matched to the characteristics of the data. In addition, we introduce a more efficient and accurate compressed sensing technique based on the existing research. The novel compressed sensing technique reduces the amount of spatial computation of methods. The ESN model based on the above two techniques overcomes the limitations in traditional prediction. In the experimental part, the model is validated with different chaotic time series as well as multiple stocks, and the method shows its efficiency and accuracy in prediction.