Stock Volume Forecasting with Advanced Information by Conditional Variational Auto-Encoder

Abstract: We demonstrate the use of Conditional Variational Encoder (CVAE) to improve the forecasts of daily stock volume time series in both short and long term forecasting tasks, with the use of advanced information of input variables such as rebalancing dates. CVAE generates non-linear time series as out-of-sample forecasts, which have better accuracy and closer fit of correlation to the actual data, compared to traditional linear models. These generative forecasts can also be used for scenario generation, which aids interpretation. We further discuss correlations in non-stationary time series and other potential extensions from the CVAE forecasts.