Identifying Trades Using Technical Analysis and ML/DL Models

The importance of predicting stock market prices cannot be overstated. It is a pivotal task for investors and financial institutions as it enables them to make informed investment decisions, manage risks, and ensure the stability of the financial system. Accurate stock market predictions can help investors maximize their returns and minimize their losses, while financial institutions can use this information to develop effective risk management policies. However, stock market prediction is a challenging task due to the complex nature of the stock market and the multitude of factors that can affect stock prices. As a result, advanced technologies such as deep learning are being increasingly utilized to analyze vast amounts of data and provide valuable insights into the behavior of the stock market. While deep learning has shown promise in accurately predicting stock prices, there is still much research to be done in this area.Comment: 14 pages, 9 figures, 5 table

European exchange trading funds trading with locally weighted support vector regression

In this paper, two different Locally Weighted Support Vector Regression (wSVR) algorithms are generated and applied to the task of forecasting and trading five European Exchange Traded Funds. The trading application covers the recent European Monetary Union debt crisis. The performance of the proposed models is benchmarked against traditional Support Vector Regression (SVR) models. The Radial Basis Function, the Wavelet and the Mahalanobis kernel are explored and tested as SVR kernels. Finally, a novel statistical SVR input selection procedure is introduced based on a principal component analysis and the Hansen, Lunde, and Nason (2011) model confidence test. The results demonstrate the superiority of the wSVR models over the traditional SVRs and of the v-SVR over the ε-SVR algorithms. We note that the performance of all models varies and considerably deteriorates in the peak of the debt crisis. In terms of the kernels, our results do not confirm the belief that the Radial Basis Function is the optimum choice for financial series

A Neurogenetic Algorithm Based on Rational Agents

Lately, a lot of research has been conducted on the automatic design of artificial neural networks (ADANNs) using evolutionary algorithms, in the so-called neuro-evolutive algorithms (NEAs). Many of the presented proposals are not biologically inspired and are not able to generate modular, hierarchical and recurrent neural structures, such as those often found in living beings capable of solving intricate survival problems. Bearing in mind the idea that a nervous system's design and organization is a constructive process carried out by genetic information encoded in DNA, this paper proposes a biologically inspired NEA that evolves ANNs using these ideas as computational design techniques. In order to do this, we propose a Lindenmayer System with memory that implements the principles of organization, modularity, repetition (multiple use of the same sub-structure), hierarchy (recursive composition of sub-structures), minimizing the scalability problem of other methods. In our method, the basic neural codification is integrated to a genetic algorithm (GA) that implements the constructive approach found in the evolutionary process, making it closest to biological processes. Thus, the proposed method is a decision-making (DM) process, the fitness function of the NEA rewards economical artificial neural networks (ANNs) that are easily implemented. In other words, the penalty approach implemented through the fitness function automatically rewards the economical ANNs with stronger generalization and extrapolation capacities. Our method was initially tested on a simple, but non-trivial, XOR problem. We also submit our method to two other problems of increasing complexity: time series prediction that represents consumer price index and prediction of the effect of a new drug on breast cancer. In most cases, our NEA outperformed the other methods, delivering the most accurate classification. These superior results are attributed to the improved effectiveness and efficiency of NEA in the decision-making process. The result is an optimized neural network architecture for solving classification problems

Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms: support vector regression forecast combinations

The motivation of this paper is to introduce a hybrid Rolling Genetic Algorithm-Support Vector Regression (RG-SVR) model for optimal parameter selection and feature subset combination. The algorithm is applied to the task of forecasting and trading the EUR/USD, EUR/GBP and EUR/JPY exchange rates. The proposed methodology genetically searches over a feature space (pool of individual forecasts) and then combines the optimal feature subsets (SVR forecast combinations) for each exchange rate. This is achieved by applying a fitness function specialized for financial purposes and adopting a sliding window approach. The individual forecasts are derived from several linear and non-linear models. RG-SVR is benchmarked against genetically and non-genetically optimized SVRs and SVMs models that are dominating the relevant literature, along with the robust ARBF-PSO neural network. The statistical and trading performance of all models is investigated during the period of 1999–2012. As it turns out, RG-SVR presents the best performance in terms of statistical accuracy and trading efficiency for all the exchange rates under study. This superiority confirms the success of the implemented fitness function and training procedure, while it validates the benefits of the proposed algorithm

Financial Trading Model with Stock Bar Chart Image Time Series with Deep Convolutional Neural Networks

Even though computational intelligence techniques have been extensively utilized in financial trading systems, almost all developed models use the time series data for price prediction or identifying buy-sell points. However, in this study we decided to use 2-D stock bar chart images directly without introducing any additional time series associated with the underlying stock. We propose a novel algorithmic trading model CNN-BI (Convolutional Neural Network with Bar Images) using a 2-D Convolutional Neural Network. We generated 2-D images of sliding windows of 30-day bar charts for Dow 30 stocks and trained a deep Convolutional Neural Network (CNN) model for our algorithmic trading model. We tested our model separately between 2007-2012 and 2012-2017 for representing different market conditions. The results indicate that the model was able to outperform Buy and Hold strategy, especially in trendless or bear markets. Since this is a preliminary study and probably one of the first attempts using such an unconventional approach, there is always potential for improvement. Overall, the results are promising and the model might be integrated as part of an ensemble trading model combined with different strategies.Comment: accepted to be published in Intelligent Automation and Soft Computing journa

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Linear multiple kernel learning model has been used for predicting financial time series. However, ℓ1-norm multiple support vector regression is rarely observed to outperform trivial baselines in practical applications. To allow for robust kernel mixtures that generalize well, we adopt ℓp-norm multiple kernel support vector regression (1≤p<∞) as a stock price prediction model. The optimization problem is decomposed into smaller subproblems, and the interleaved optimization strategy is employed to solve the regression model. The model is evaluated on forecasting the daily stock closing prices of Shanghai Stock Index in China. Experimental results show that our proposed model performs better than ℓ1-norm multiple support vector regression model

Forecasting Foreign Exchange Rates with the use of Artificial Neural Networks/Learning Machines and comparison with Traditional Concepts and Linear Models

2014 dissertation for MSc in Finance & Risk. Selected by academic staff as a good example of a masters level dissertation. The prediction of Foreign Exchange has been an ever-going learning process. The development of methods of prediction has come a long way, from the beginning where the though there was no ability to predict the future, and behavior is an unpredictable entity to the development of simple statistical linear models that has come a long way to todays technology world where computers and their computational powers have made it possible for Artificial Intelligence to be born. This paper will be going through previous studies on these Neural Networks to forecast the EUR/USD, GBP/USD and USD/JPY to test and review their ability to forecast one day ahead

CAST: using neural networks to improve trading systems based on technical analysis by means of the RSI financial indicator

Stock price predictions have been a field of study from several points of view including, among others, artificial intelligence and expert systems. For short term predictions, the technical indicator relative strength indicator (RSI) has been published in many papers and used worldwide. CAST is presented in this paper. CAST can be seen as a set of solutions for calculating the RSI using arti ficial intelligence techniques. The improvement is based on the use of feedforward neural networks to calculate the RSI in a more accurate way, which we call the iRSI. This new tool will be used in two sce narios. In the first, it will predict a market in our case, the Spanish IBEX 35 stock market. In the second, it will predict single company values pertaining to the IBEX 35. The results are very encouraging and reveal that the CAST can predict the given market as a whole along with individual stock pertaining to the IBEX 35 index.This work is supported by the Spanish Ministry of Industry, Tourism, and Commerce under the EUREKA project SITIO (TSI- 020400-2009-148), SONAR2 (TSI-020100-2008-665), INNOVA 3.0 (TSI-020100-2009-612) and GO2 (TSI-020400-2009-127).Publicad

Convexity-Concavity Indicators and Automated Trading Strategies Based on Gradient Boosted Classification Trees Models

This paper uses the visibility and invisibility algorithms to build the peak and trough indicators, providing a way to recognize the convexity, concavity and regime change of the CSI 300 Index from the April 8, 2005 to June 30, 2016. The study found that the automated trading rules discovered by the gradient boosted classification trees models derived from the peak indicator outperform that from the trough indicator. Due to the long-term bubble regime in the Chinese stock market, the technical trading rules in general have a better short term predictive ability than long term, in terms of the values of Sharpe Ratio and PnL/MD obtained from the whole out-of-sample