关键词: 时间序列预测, Transformer模型, 增量学习, 持续注意力机制

Abstract: Stock price prediction has always been a focal topic in financial research and quantitative investment. Currently, most deep learning models for stock price prediction are based on batch learning settings, which require prior knowledge of the training dataset. These models are not scalable for real-time data stream prediction, and their performance decreases when the data distribution dynamically changes. To address the issue of poor prediction accuracy for non-stationary stock price data in existing research, this paper proposes an online stock price prediction model (Increformer) based on incremental learning and continuous attention mechanism. By leveraging continuous self-attention mechanism to capture the temporal dependencies among feature variables and employing continuous normalization mechanism to handle non-stationary data, the model enhances prediction accuracy through the incremental training strategy based on elastic weighting consolidation to acquire new knowledge from the data stream. Five public datasets are selected from the stock index and individual stock price sequences in the stock market for experiments. Experimental results demonstrate that Increformer effectively extracts temporal information and feature dimension correlation from the data, thus improving the prediction performance of stock prices. Additionally, ablation experiments are conducted to evaluate the effects and necessity of the continuous normalization mechanism, continuous attention mechanism, and incremental training strategy, thereby verifying the accuracy and generalizability of the proposed model. Increformer can effectively capture the trends and fluctuations of stock price series.

Key words: time series prediction, Transformer, incremental learning, continuous attention