期刊
APPLIED SOFT COMPUTING
卷 70, 期 -, 页码 525-538出版社
ELSEVIER
DOI: 10.1016/j.asoc.2018.04.024
关键词
Algorithmic trading; Deep learning; Convolutional neural networks; Financial forecasting; Stock market; Technical analysis
资金
- Scientific and Technological Research Council of Turkey (TUBITAK) [215E248]
Computational intelligence techniques for financial trading systems have always been quite popular. In the last decade, deep learning models start getting more attention, especially within the image processing community. In this study, we propose a novel algorithmic trading model CNN-TA using a 2-D convolutional neural network based on image processing properties. In order to convert financial time series into 2-D images, 15 different technical indicators each with different parameter selections are utilized. Each indicator instance generates data for a 15 day period. As a result, 15 x 15 sized 2-D images are constructed. Each image is then labeled as Buy, Sell or Hold depending on the hills and valleys of the original time series. The results indicate that when compared with the Buy & Hold Strategy and other common trading systems over a long out-of-sample period, the trained model provides better results for stocks and ETFs. (C) 2018 Elsevier B.V. All rights reserved.
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