Based on: Lim, Bryan & Arik, Sercan & Loeff, Nicolas & Pfister, Tomas. (2019). Temporal Fusion
Transformers for Interpretable Multi-horizon Time Series Forecasting
Paper: https://arxiv.org/pdf/1912.09363.pdf
Proposal: https://github.com/damu4/tft-forecast/raw/main/proposal.pdf
Project goals:
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Reproduce the experiment with volatility dataset.
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In the original paper data used from 2000-01-03 to 2019-06-28. I will train model on data to 2021-05-01
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Tune model's hyperparameters.
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Experiments with changing the model:
a. Change Softmax to SM-Taylor softmax
b. Add linear layer to GRU