Classification-based financial markets prediction using deep neural networks

DOI10.3233/AF-170176zbMATH Open1419.91611arXiv1603.08604OpenAlexW3124849400MaRDI QIDQ4586450FDOQ4586450

Authors: Matthew F. Dixon, Diego Klabjan, Jin Hoon Bang 

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

Abstract: Deep neural networks (DNNs) are powerful types of artificial neural networks (ANNs) that use several hidden layers. They have recently gained considerable attention in the speech transcription and image recognition community (Krizhevsky et al., 2012) for their superior predictive properties including robustness to overfitting. However their application to algorithmic trading has not been previously researched, partly because of their computational complexity. This paper describes the application of DNNs to predicting financial market movement directions. In particular we describe the configuration and training approach and then demonstrate their application to backtesting a simple trading strategy over 43 different Commodity and FX future mid-prices at 5-minute intervals. All results in this paper are generated using a C++ implementation on the Intel Xeon Phi co-processor which is 11.4x faster than the serial version and a Python strategy backtesting environment both of which are available as open source code written by the authors.

Full work available at URL: https://arxiv.org/abs/1603.08604

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zbMATH Keywords

deep neural networksfinancial markets predictionFX futures

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Cited In (10)

• A deep learning approach to estimating fill probabilities in a limit order book
• Reachability in Simple Neural Networks
• Predicting stock prices based on informed traders' activities using deep neural networks
• Deep learning with long short-term memory networks for financial market predictions
• Title not available (Why is that?)
• Making predictions of the profitability on the financial markets using discriminant analysis
• Complexity of reachability problems in neural networks
• Deep learning for limit order books
• Reachability is NP-complete even for the simplest neural networks
• Are markets truly efficient? Experiments using deep learning algorithms for market movement prediction

Uses Software

• Python

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