Ensemble Approach for Financial Time Series Modeling

This study provides a comprehensive evaluation of bagging ensemble models for financial time series (FTS) classification and addresses a gap in the literature regarding how bootstrap methods, ensemble sizes, voting mechanisms, and loss functions jointly influence model performance. The analysis evaluates decision tree (DT), logistic regression (LR), and multi-layer perceptron (MLP) ensemble models modified by six time series bootstrap methods, five ensemble sizes, and three voting mechanisms across six FTS data sets. The study also examines the influence of entropy- and profit-based loss functions within particle swarm (PSO) and quantum-inspired particle swarm (QPSO) optimization for weighted voting. The results show that LR-based ensembles provide the strongest overall performance and outperform ARIMA, DT, LR, MLP, and LSTM baseline models on both accuracy and profit metrics. Bootstrap effects are model specific. DT and MLP ensembles perform best under the Tukey bootstrap, while LR ensembles achieve strong results under the block bootstrap, the sub-sample bootstrap method, and the Tukey method, and remain the strongest performers across all bootstrap configurations. Optimized voting mechanisms yield clear improvements over equal-weight majority voting, with the profit loss function producing the most consistent gains. The findings also indicate that FTS classification problems exhibit an optimal range of ensemble sizes, as larger ensembles do not always improve performance. The study contributes a systematic assessment of ensemble design choices for FTS classification and highlights the importance of jointly considering bootstrap diversity, ensemble size, and voting strategy when developing ensemble models for financial applications.

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Publication Details

Journal
Algorithms
Published
2026-05-18
DOI
https://doi.org/10.3390/a19050404
Primary Topic
Stock Market Forecasting Methods
Type
article
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article

Ensemble Approach for Financial Time Series Modeling

Andries Petrus Engelbrecht, Aveer Nannoolal
Algorithms
Stock Market Forecasting Methods
article

Ensemble Approach for Financial Time Series Modeling

Andries Petrus Engelbrecht, Aveer Nannoolal
article en

Abstract

This study provides a comprehensive evaluation of bagging ensemble models for financial time series (FTS) classification and addresses a gap in the literature regarding how bootstrap methods, ensemble sizes, voting mechanisms, and loss functions jointly influence model performance. The analysis evaluates decision tree (DT), logistic regression (LR), and multi-layer perceptron (MLP) ensemble models modified by six time series bootstrap methods, five ensemble sizes, and three voting mechanisms across six FTS data sets. The study also examines the influence of entropy- and profit-based loss functions within particle swarm (PSO) and quantum-inspired particle swarm (QPSO) optimization for weighted voting. The results show that LR-based ensembles provide the strongest overall performance and outperform ARIMA, DT, LR, MLP, and LSTM baseline models on both accuracy and profit metrics. Bootstrap effects are model specific. DT and MLP ensembles perform best under the Tukey bootstrap, while LR ensembles achieve strong results under the block bootstrap, the sub-sample bootstrap method, and the Tukey method, and remain the strongest performers across all bootstrap configurations. Optimized voting mechanisms yield clear improvements over equal-weight majority voting, with the profit loss function producing the most consistent gains. The findings also indicate that FTS classification problems exhibit an optimal range of ensemble sizes, as larger ensembles do not always improve performance. The study contributes a systematic assessment of ensemble design choices for FTS classification and highlights the importance of jointly considering bootstrap diversity, ensemble size, and voting strategy when developing ensemble models for financial applications.

AlgorithmsVol. 19(5)
Stellenbosch University (ZA)
Openalex Percentile: Top 4%
Stock Market Forecasting Methods
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