Time-series modeling with undecimated fully convolutional neural networks

We present a new convolutional neural network-based time-series model. Typical convolutional neural network (CNN) architectures rely on the use of max-pooling operators in between layers, which leads to reduced resolution at the top layers. Instead, in this work we consider a fully convolutional network (FCN) architecture that uses causal filtering operations, and allows for the rate of the output signal to be the same as that of the input signal. We furthermore propose an undecimated version of the FCN, which we refer to as the undecimated fully convolutional neural network (UFCNN), and is motivated by the undecimated wavelet transform. Our experimental results verify that using the undecimated version of the FCN is necessary in order to allow for effective time-series modeling. The UFCNN has several advantages compared to other time-series models such as the recurrent neural network (RNN) and long short-term memory (LSTM), since it does not suffer from either the vanishing or exploding gradients problems, and is therefore easier to train. Convolution operations can also be implemented more efficiently compared to the recursion that is involved in RNN-based models. We evaluate the performance of our model in a synthetic target tracking task using bearing only measurements generated from a state-space model, a probabilistic modeling of polyphonic music sequences problem, and a high frequency trading task using a time-series of ask/bid quotes and their corresponding volumes. Our experimental results using synthetic and real datasets verify the significant advantages of the UFCNN compared to the RNN and LSTM baselines.