Jia Wang, Tong Sun, Benyuan Liu, Yu Cao, Degang Wang
{"title":"基于深度学习的金融市场预测","authors":"Jia Wang, Tong Sun, Benyuan Liu, Yu Cao, Degang Wang","doi":"10.1109/ICMLA.2018.00022","DOIUrl":null,"url":null,"abstract":"Financial markets are difficult to predict due to its complex systems dynamics. Although there have been some recent studies that use machine learning techniques for financial markets prediction, they do not offer satisfactory performance on financial returns. We propose a novel one-dimensional convolutional neural networks (CNN) model to predict financial market movement. The customized one-dimensional convolutional layers scan financial trading data through time, while different types of data, such as prices and volume, share parameters (kernels) with each other. Our model automatically extracts features instead of using traditional technical indicators and thus can avoid biases caused by selection of technical indicators and pre-defined coefficients in technical indicators. We evaluate the performance of our prediction model with strictly backtesting on historical trading data of six futures from January 2010 to October 2017. The experiment results show that our CNN model can effectively extract more generalized and informative features than traditional technical indicators, and achieves more robust and profitable financial performance than previous machine learning approaches.","PeriodicalId":6533,"journal":{"name":"2018 17th IEEE International Conference on Machine Learning and Applications (ICMLA)","volume":"70 1","pages":"97-104"},"PeriodicalIF":0.0000,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"27","resultStr":"{\"title\":\"Financial Markets Prediction with Deep Learning\",\"authors\":\"Jia Wang, Tong Sun, Benyuan Liu, Yu Cao, Degang Wang\",\"doi\":\"10.1109/ICMLA.2018.00022\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Financial markets are difficult to predict due to its complex systems dynamics. Although there have been some recent studies that use machine learning techniques for financial markets prediction, they do not offer satisfactory performance on financial returns. We propose a novel one-dimensional convolutional neural networks (CNN) model to predict financial market movement. The customized one-dimensional convolutional layers scan financial trading data through time, while different types of data, such as prices and volume, share parameters (kernels) with each other. Our model automatically extracts features instead of using traditional technical indicators and thus can avoid biases caused by selection of technical indicators and pre-defined coefficients in technical indicators. We evaluate the performance of our prediction model with strictly backtesting on historical trading data of six futures from January 2010 to October 2017. The experiment results show that our CNN model can effectively extract more generalized and informative features than traditional technical indicators, and achieves more robust and profitable financial performance than previous machine learning approaches.\",\"PeriodicalId\":6533,\"journal\":{\"name\":\"2018 17th IEEE International Conference on Machine Learning and Applications (ICMLA)\",\"volume\":\"70 1\",\"pages\":\"97-104\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"27\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2018 17th IEEE International Conference on Machine Learning and Applications (ICMLA)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/ICMLA.2018.00022\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2018 17th IEEE International Conference on Machine Learning and Applications (ICMLA)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICMLA.2018.00022","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Financial markets are difficult to predict due to its complex systems dynamics. Although there have been some recent studies that use machine learning techniques for financial markets prediction, they do not offer satisfactory performance on financial returns. We propose a novel one-dimensional convolutional neural networks (CNN) model to predict financial market movement. The customized one-dimensional convolutional layers scan financial trading data through time, while different types of data, such as prices and volume, share parameters (kernels) with each other. Our model automatically extracts features instead of using traditional technical indicators and thus can avoid biases caused by selection of technical indicators and pre-defined coefficients in technical indicators. We evaluate the performance of our prediction model with strictly backtesting on historical trading data of six futures from January 2010 to October 2017. The experiment results show that our CNN model can effectively extract more generalized and informative features than traditional technical indicators, and achieves more robust and profitable financial performance than previous machine learning approaches.