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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2512.15738 |
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| _version_ | 1866915683669901312 |
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| author | Weinberg, Abraham Itzhak |
| author_facet | Weinberg, Abraham Itzhak |
| contents | Financial market prediction is a challenging application of machine learning, where even small improvements in directional accuracy can yield substantial value. Most models struggle to exceed 55--57\% accuracy due to high noise, non-stationarity, and market efficiency. We introduce a hybrid ensemble framework combining quantum sentiment analysis, Decision Transformer architecture, and strategic model selection, achieving 60.14\% directional accuracy on S\&P 500 prediction, a 3.10\% improvement over individual models.
Our framework addresses three limitations of prior approaches. First, architecture diversity dominates dataset diversity: combining different learning algorithms (LSTM, Decision Transformer, XGBoost, Random Forest, Logistic Regression) on the same data outperforms training identical architectures on multiple datasets (60.14\% vs.\ 52.80\%), confirmed by correlation analysis ($r>0.6$ among same-architecture models). Second, a 4-qubit variational quantum circuit enhances sentiment analysis, providing +0.8\% to +1.5\% gains per model. Third, smart filtering excludes weak predictors (accuracy $<52\%$), improving ensemble performance (Top-7 models: 60.14\% vs.\ all 35 models: 51.2\%).
We evaluate on 2020--2023 market data across seven instruments, covering diverse regimes including the COVID-19 crash and inflation-driven correction. McNemar's test confirms statistical significance ($p<0.05$). Preliminary backtesting with confidence-based filtering (6+ model consensus) yields a Sharpe ratio of 1.2 versus buy-and-hold's 0.8, demonstrating practical trading potential. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_15738 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Hybrid Quantum-Classical Ensemble Learning for S\&P 500 Directional Prediction Weinberg, Abraham Itzhak Machine Learning Artificial Intelligence Statistical Finance Financial market prediction is a challenging application of machine learning, where even small improvements in directional accuracy can yield substantial value. Most models struggle to exceed 55--57\% accuracy due to high noise, non-stationarity, and market efficiency. We introduce a hybrid ensemble framework combining quantum sentiment analysis, Decision Transformer architecture, and strategic model selection, achieving 60.14\% directional accuracy on S\&P 500 prediction, a 3.10\% improvement over individual models. Our framework addresses three limitations of prior approaches. First, architecture diversity dominates dataset diversity: combining different learning algorithms (LSTM, Decision Transformer, XGBoost, Random Forest, Logistic Regression) on the same data outperforms training identical architectures on multiple datasets (60.14\% vs.\ 52.80\%), confirmed by correlation analysis ($r>0.6$ among same-architecture models). Second, a 4-qubit variational quantum circuit enhances sentiment analysis, providing +0.8\% to +1.5\% gains per model. Third, smart filtering excludes weak predictors (accuracy $<52\%$), improving ensemble performance (Top-7 models: 60.14\% vs.\ all 35 models: 51.2\%). We evaluate on 2020--2023 market data across seven instruments, covering diverse regimes including the COVID-19 crash and inflation-driven correction. McNemar's test confirms statistical significance ($p<0.05$). Preliminary backtesting with confidence-based filtering (6+ model consensus) yields a Sharpe ratio of 1.2 versus buy-and-hold's 0.8, demonstrating practical trading potential. |
| title | Hybrid Quantum-Classical Ensemble Learning for S\&P 500 Directional Prediction |
| topic | Machine Learning Artificial Intelligence Statistical Finance |
| url | https://arxiv.org/abs/2512.15738 |