Interpretable cognitive learning with spatial attention for high-volatility time series prediction

In reality, some kinds of time series have the characteristics of high volatility, where fluctuation patterns of sequential data contain rich semantic knowledge and represent the spatial features from two-dimensional perspective. Especially, some non-trivial fluctuations may provide key information for the forecasting of time series. However, how to appropriately represent the fluctuation patterns and achieve the causal reasoning among them remains open. In this work, by learning the causal knowledge of fluctuation patterns, a novel spatial attention fuzzy cognitive map with high-order structure is proposed for the interpretable prediction of time series with high volatility. Firstly, a kind of extended polar fuzzy information granules is utilized to convert time series into granule sequences with interpretable fluctuation features, based on which fuzzy cognitive maps can be constructed by using full data-driven way. Secondly, in order to capture the key fluctuation patterns, the attention mechanism is first introduced into fuzzy cognitive map, where the spatial features of the focused patterns can be taken fully utilized. Thirdly, the high-order structure is involved into the proposed model for the learning of the temporal knowledge existing in the pattern sequences. Finally, real-world financial time series with strong noises and high volatility are empirically utilized to verify the promising performance of the proposed method. (C)& nbsp;2022 Elsevier B.V. All rights reserved.

Automated summary

This study proposes a novel spatial attention fuzzy cognitive map method for interpretable prediction of time series with high volatility by learning the causal knowledge of fluctuation patterns. The method converts time series into granule sequences with interpretable fluctuation features and captures key fluctuation patterns using the attention mechanism. In addition, a high-order structure is introduced for the learning of temporal knowledge.