Papers › Performance evaluation of deep neural networks for forecasting time-series with...
Performance evaluation of deep neural networks for forecasting time-series with multiple structural breaks and high volatility
Rohit Kaushik, Shikhar Jain, Siddhant Jain, Tirtharaj Dash
The problem of automatic and accurate forecasting of time-series data has always been an interesting challenge for the machine learning and forecasting community. A majority of the real-world time-series problems have non-stationary characteristics that make the understanding of trend and seasonality difficult. Our interest in this paper is to study the applicability of the popular deep neural networks (DNN) as function approximators for non-stationary TSF. We evaluate the following DNN models: Multi-layer Perceptron (MLP), Convolutional Neural Network (CNN), and RNN with Long-Short Term Memory (LSTM-RNN) and RNN with Gated-Recurrent Unit (GRU-RNN). These DNN methods have been evaluated over 10 popular Indian financial stocks data. Further, the performance evaluation of these DNNs has been carried out in multiple independent runs for two settings of forecasting: (1) single-step forecasting, and (2) multi-step forecasting. These DNN methods show convincing performance for single-step forecasting (one-day ahead forecast). For the multi-step forecasting (multiple days ahead forecast), we have evaluated the methods for different forecast periods. The performance of these methods demonstrates that long forecast periods have an adverse effect on performance.
Code
Repository list and official/mentioned flags are the archive's, frozen 2025-07-28. Reachability, where shown, is from one Syntology probe window (2026-09-16 to 2026-09-18); repositories not probed show nothing. GitHub stars are not tracked.
Code Syntology ran Syntology
Not run by Syntology. Nothing on this page verifies that the listed code works.
Tasks
Results from the paper archive 2025-07-28
No leaderboard rows for this paper in the archive.
Report a problem or propose a change · a person checks every report against the paper or source before anything changes; decisions are listed on /corrections