City Research Online

Making Good on LSTMs' Unfulfilled Promise

Philps, D., Garcez, A. & Weyde, T. ORCID: 0000-0001-8028-9905 (2019). Making Good on LSTMs' Unfulfilled Promise. Paper presented at the NeurIPS 2019 Workshop on Robust AI in Financial Services: Data, Fairness, Explainability, Trustworthiness, and Privacy, 13 Dec 2019, Vancouver, Canada.

Abstract

LSTMs promise much to financial time-series analysis, temporal and cross-sectional inference, but we find that they do not deliver in a real-world financial management task. We examine an alternative called Continual Learning (CL), a memory-augmented approach, which can provide transparent explanations, i.e. which memory did what and when. This work has implications for many financial applications including credit, time-varying fairness in decision making and more. We make three important new observations. Firstly, as well as being more explainable, time-series CL approaches outperform LSTMs as well as a simple sliding window learner using feed-forward neural networks (FFNN). Secondly, we show that CL based on a sliding window learner (FFNN) is more effective than CL based on a sequential learner (LSTM). Thirdly, we examine how real-world, time-series noise impacts several similarity approaches used in CL memory addressing. We provide these insights using an approach called Continual Learning Augmentation (CLA) tested on a complex real-world problem, emerging market equities investment decision making. CLA provides a test-bed as it can be based on different types of time-series learners, allowing testing of LSTM and FFNN learners side by side. CLA is also used to test several distance approaches used in a memory recall-gate: Euclidean distance (ED), dynamic time warping (DTW), auto-encoders (AE) and a novel hybrid approach, warp-AE. We find that ED under-performs DTW and AE but warp-AE shows the best overall performance in a real-world financial task.

Publication Type: Conference or Workshop Item (Paper)
Publisher Keywords: Continual learning, time-series, LSTM, similarity, DTW, auto-encoder
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Departments: School of Science & Technology > Computer Science
[thumbnail of NeurIPS-2019-WS-Finance.pdf]
Preview
Text - Accepted Version
Download (493kB) | Preview

Export

Add to AnyAdd to TwitterAdd to FacebookAdd to LinkedinAdd to PinterestAdd to Email

Downloads

Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login