A Deep Neural-Network Based Stock Trading System Based on Evolutionary Optimized Technical Analysis Parameters

An Intelligent Fusion Model with Portfolio Selection and Machine Learning for Stock Market Prediction

Developing reliable equity market models allows investors to make more informed decisions. A trading model can reduce the risks associated with investment and allow traders to choose the best-paying stocks. However, stock market analysis is complicated with batch processing techniques since stock prices are highly correlated. In recent years, advances in machine learning have given us a lot of chances to use forecasting theory and risk optimization together. The study postulates a unique two-stage framework. First, the mean-variance approach is utilized to select probable stocks (portfolio construction), thereby minimizing investment risk. Second, we present an online machine learning technique, a combination of “perceptron” and “passive-aggressive algorithm,” to predict future stock price movements for the upcoming period. We have calculated the classification reports, AUC score, accuracy, and Hamming loss for the proposed framework in the real-world datasets of 20 health sector indices for four different geographical reasons for the performance evaluation. Lastly, we conduct a numerical comparison of our method's outcomes to those generated via conventional solutions by previous studies. Our aftermath reveals that learning-based ensemble strategies with portfolio selection are effective in comparison.

A Fusion Framework for Forecasting Financial Market Direction Using Enhanced Ensemble Models and Technical Indicators

People continuously hunt for a precise and productive strategy to control the stock exchange because the monetary trade is recognised for its unbelievably different character and unpredictability. Even a minor gain in predicting performance will be extremely profitable and significant. Our novel study implemented six boosting techniques, i.e., XGBoost, AdaBoost, Gradient Boosting, LightGBM, CatBoost, and Histogram-based Gradient Boosting, and these boosting techniques were hybridised using a stacking framework to find out the direction of the stock market. Five different stock datasets were selected from four different countries and were used for our experiment. We used two-way overfitting protection during our model building process, i.e., dynamic reduction technique and cross-validation technique. For model evaluation purposes, we used the performance metrics, i.e., accuracy, ROC curve (AUC), F-score, precision, and recall. The aim of our study was to propose and select a predictive model whose training and testing accuracy difference was minimal in all stocks. The findings revealed that the meta-classifier Meta-LightGBM had training and testing accuracy differences that were very low among all stocks. As a result, a proper model selection might allow investors the freedom to invest in a certain stock in order to successfully control risk and create short-term, sustainable profits.

Development of accurate classification of heavenly bodies using novel machine learning techniques

The heavenly bodies are objects that swim in the outer space. The classification of these objects is a challenging task for astronomers. This article presents a novel methodology that enables an efficient and accurate classification of cosmic objects (3 classes) based on evolutionary optimization of classifiers. This research collected the data from Sloan Digital Sky Survey database. In this work, we are proposing to develop a novel machine learning model to classify stellar spectra of stars, quasars and galaxies. First, the input data are normalized and then subjected to principal component analysis to reduce the dimensionality. Then, the genetic algorithm is implemented on the data which helps to find the optimal parameters for the classifiers. We have used 21 classifiers to develop an accurate and robust classification with fivefold cross-validation strategy. Our developed model has achieved an improvement in the accuracy using nineteen out of twenty-one models. We have obtained the highest classification accuracy of 99.16%, precision of 98.78%, recall of 98.08% and F1-score of 98.32% using evolutionary system based on voting classifier. The developed machine learning prototype can help the astronomers to make accurate classification of heavenly bodies in the sky. Proposed evolutionary system can be used in other areas where accurate classification of many classes is required.

Forecasting stock price using integrated artificial neural network and metaheuristic algorithms compared to time series models

Today, stock market has important function and it can be a place as a measure of economic position. People can earn a lot of money and return by investing their money in the stock exchange market. But it is not easy because many factors should be considered. So, there are many ways to predict the movement of share price. The main goal of this article is to predict stock price indices using artificial neural network (ANN) and train it with some new metaheuristic algorithms such as social spider optimization (SSO) and bat algorithm (BA). We used some technical indicators as input variables. Then, we used genetic algorithms (GA) as a heuristic algorithm for feature selection and choosing the best and most related indicators. We used some loss functions such as mean absolute error (MAE) as error evaluation criteria. On the other hand, we used some time series models forecasting like ARMA and ARIMA for prediction of stock price. Finally, we compared the results with each other means ANN-Metaheuristic algorithms and time series models. The statistical population of research have five most important and international indices which were S&P500, DAX, FTSE100, Nasdaq and DJI.

Neural Network Predictive Modeling on Dynamic Portfolio Management—A Simulation-Based Portfolio Optimization Approach

Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to attract even more attention after the 2008 financial crisis. This disastrous occurrence propelled portfolio managers to reevaluate and mitigate the risk and return trade-off in building their clients’ portfolios. The advancement of machine-learning algorithms and computing resources helps portfolio managers explore rich information by incorporating macroeconomic conditions into their investment strategies and optimizing their portfolio performance in a timely manner. In this paper, we present a simulation-based approach by fusing a number of macroeconomic factors using Neural Networks (NN) to build an Economic Factor-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean-CVaR) framework to derive an optimal portfolio comprised of six index funds. Empirical tests on the resulting portfolio are conducted on an out-of-sample dataset utilizing a rolling-horizon approach. Finally, we compare its performance against three benchmark portfolios over a period of almost twelve years (01/2007–11/2019). The results indicate that the proposed EFPM-based asset allocation strategy outperforms the three alternatives on many common metrics, including annualized return, volatility, Sharpe ratio, maximum drawdown, and 99% CVaR.

Deep learning in single-molecule microscopy: fundamentals, caveats, and recent developments [Invited]

Deep learning-based data analysis methods have gained considerable attention in all fields of science over the last decade. In recent years, this trend has reached the single-molecule community. In this review, we will survey significant contributions of the application of deep learning in single-molecule imaging experiments. Additionally, we will describe the historical events that led to the development of modern deep learning methods, summarize the fundamental concepts of deep learning, and highlight the importance of proper data composition for accurate, unbiased results.

Review for Optimisation of Neural Networks With Genetic Algorithms and Design of Experiments in Stock Market Prediction

Neural networks are commonly used methods in stock market predictions. From the earlier studies in the literature, the requirement of optimising neural networks has been emphasised to increase the profitability, accuracy and performance of neural networks in exchange rate prediction. The paper proposes a literature review of two techniques to optimise neural networks in stock market predictions: genetic algorithms and design of experiments. These two methods have been discussed in three approaches to optimise the following aspects of neural networks: variables, input layer and hyper-parameters.

Selection of the optimal trading model for stock investment in different industries

In general, the stock prices of the same industry have a similar trend, but those of different industries do not. When investing in stocks of different industries, one should select the optimal model from lots of trading models for each industry because any model may not be suitable for capturing the stock trends of all industries. However, the study has not been carried out at present. In this paper, firstly we select 424 S&P 500 index component stocks (SPICS) and 185 CSI 300 index component stocks (CSICS) as the research objects from 2010 to 2017, divide them into 9 industries such as finance and energy respectively. Secondly, we apply 12 widely used machine learning algorithms to generate stock trading signals in different industries and execute the back-testing based on the trading signals. Thirdly, we use a non-parametric statistical test to evaluate whether there are significant differences among the trading performance evaluation indicators (PEI) of different models in the same industry. Finally, we propose a series of rules to select the optimal models for stock investment of every industry. The analytical results on SPICS and CSICS show that we can find the optimal trading models for each industry based on the statistical tests and the rules. Most importantly, the PEI of the best algorithms can be significantly better than that of the benchmark index and “Buy and Hold” strategy. Therefore, the algorithms can be used for making profits from industry stock trading.

Genetic Algorithm-Optimized Long Short-Term Memory Network for Stock Market Prediction

With recent advances in computing technology, massive amounts of data and information are being constantly accumulated. Especially in the field of finance, we have great opportunities to create useful insights by analyzing that information, because the financial market produces a tremendous amount of real-time data, including transaction records. Accordingly, this study intends to develop a novel stock market prediction model using the available financial data. We adopt deep learning technique because of its excellent learning ability from the massive dataset. In this study, we propose a hybrid approach integrating long short-term memory (LSTM) network and genetic algorithm (GA). Heretofore, trial and error based on heuristics is commonly used to estimate the time window size and architectural factors of LSTM network. This research investigates the temporal property of stock market data by suggesting a systematic method to determine the time window size and topology for the LSTM network using GA. To evaluate the proposed hybrid approach, we have chosen daily Korea Stock Price Index (KOSPI) data. The experimental result demonstrates that the hybrid model of LSTM network and GA outperforms the benchmark model.