A Dynamic Level Technical Indicator Model for Oil Price Forecasting

Investment in commodities and stock requires a nearly accurate prediction of price to make profit and to prevent losses. Technical indicators are usually employed on the software platforms for commodities and stock for such price prediction and forecasting. However, many of the available and popular technical indicators have proved unprofitable and disappointing to investors, often resulting not only in ordinary losses but in total loss of investment capital. We propose a dynamic level technical indicator model for the forecasting of commodities prices. The proposed model creates dynamic price supports and resistances levels in different time frames of the price chart using a novel algorithm and employs them for price forecasting. In this study, the proposed model was applied to predict the prices of the United Kingdom (UK) Oil. It was compared with the combination of two popular and widely accepted technical indicators, the Moving Average Convergence and Divergence (MACD) and Stochastic Oscillator. The results showed that the proposed dynamic level technical indicator model outperformed MACD and Stochastic Oscillator in terms of profit

Performance Forecasting of Share Market using Machine Learning Techniques: A Review

Forecasting share performance becomes more challenging issue due to the enormous amount of valuable trading data stored in the stock database. Currently, existing forecasting methods are insufficient to analyze the share performance accurately. There are two main reasons for that: First, the study of existing forecasting methods is still insufficient to identify the most suitable methods for share price prediction. Second, the lack of investigations made on the factors affecting the share performance. In this regard, this study presents a systematic review of the last fifteen years on various machine learning techniques in order to analyze share performance accurately. The only objective of this study is to provide an overview of the machine learning techniques that have been used to forecast share performance. This paper also highlights a how the prediction algorithms can be used to identify the most important variables in a share market dataset. Finally, we could have succeeded to analyze share performance effectively. It could bring benefits and impacts to researchers, society, brokers and financial analysts

Reinforcement Learning in Stock Trading

Using machine learning techniques in financial markets, particularly in stock trading, attracts a lot of attention from both academia and practitioners in recent years. Researchers have studied different supervised and unsupervised learning techniques to either predict stock price movement or make decisions in the market. In this paper we study the usage of reinforcement learning techniques in stock trading. We evaluate the approach on real-world stock dataset. We compare the deep reinforcement learning approach with state-of-the-art supervised deep learning prediction in real-world data. Given the nature of the market where the true parameters will never be revealed, we believe that the reinforcement learning has a lot of potential in decision-making for stock trading

Computational Intelligence Sequential Monte Carlos for Recursive Bayesian Estimation

Recursive Bayesian estimation using sequential Monte Carlos methods is a powerful numerical technique to understand latent dynamics of non-linear non-Gaussian dynamical systems. Classical sequential Monte Carlos suffer from weight degeneracy which is where the number of distinct particles collapse. Traditionally this is addressed by resampling, which effectively replaces high weight particles with many particles with high inter-particle correlation. Frequent resampling, however, leads to a lack of diversity amongst the particle set in a problem known as sample impoverishment. Traditional sequential Monte Carlo methods attempt to resolve this correlated problem however introduce further data processing issues leading to minimal to comparable performance improvements over the sequential Monte Carlo particle filter. A new method, the adaptive path particle filter, is proposed for recursive Bayesian estimation of non-linear non-Gaussian dynamical systems. Our method addresses the weight degeneracy and sample impoverishment problem by embedding a computational intelligence step of adaptive path switching between generations based on maximal likelihood as a fitness function. Preliminary tests on a scalar estimation problem with non-linear non-Gaussian dynamics and a non-stationary observation model and the traditional univariate stochastic volatility problem are presented. Building on these preliminary results, we evaluate our adaptive path particle filter on the stochastic volatility estimation problem. We calibrate the Heston stochastic volatility model employing a Markov chain Monte Carlo on six securities. Finally, we investigate the efficacy of sequential Monte Carlos for recursive Bayesian estimation of astrophysical time series. We posit latent dynamics for both regularized and irregular astrophysical time series, calibrating fifty-five quasar time series using the CAR(1) model. We find the adaptive path particle filter to statistically significantly outperform the standard sequential importance resampling particle filter, the Markov chain Monte Carlo particle filter and, upon Heston model estimation, the particle learning algorithm particle filter. In addition, from our quasar MCMC calibration we find the characteristic timescale τ to be first-order stable in contradiction to the literature though indicative of a unified underlying structure. We offer detailed analysis throughout, and conclude with a discussion and suggestions for future work

Machine Learning for Financial Prediction Under Regime Change Using Technical Analysis: A Systematic Review

Recent crises, recessions and bubbles have stressed the non-stationary nature and the presence of drastic structural changes in the financial domain. The most recent literature suggests the use of conventional machine learning and statistical approaches in this context. Unfortunately, several of these techniques are unable or slow to adapt to changes in the price-generation process. This study aims to survey the relevant literature on Machine Learning for financial prediction under regime change employing a systematic approach. It reviews key papers with a special emphasis on technical analysis. The study discusses the growing number of contributions that are bridging the gap between two separate communities, one focused on data stream learning and the other on economic research. However, it also makes apparent that we are still in an early stage. The range of machine learning algorithms that have been tested in this domain is very wide, but the results of the study do not suggest that currently there is a specific technique that is clearly dominant

Machine Learning and Finance: A Review using Latent Dirichlet Allocation Technique (LDA)

The aim of this paper is provide a first comprehensive structuring of the literature applying machine learning to finance. We use a probabilistic topic modelling approach to make sense of this diverse body of research spanning across the disciplines of finance, economics, computer sciences, and decision sciences. Through the topic modelling approach, a Latent Dirichlet Allocation Technique (LDA), we can extract the 14 coherent research topics that are the focus of the 6,148 academic articles during the years 1990-2019 analysed. We first describe and structure these topics, and then further show how the topic focus has evolved over the last two decades. Our study thus provides a structured topography for finance researchers seeking to integrate machine learning research approaches in their exploration of finance phenomena. We also showcase the benefits to finance researchers of the method of probabilistic modelling of topics for deep comprehension of a body of literature, especially when that literature has diverse multi-disciplinary actors

Übersicht über Systemidentifikation mit dem Fokus der Inversen Modellierung

The intention behind this literature review is to obtain knowledge about the current status in the field of system identification with special focus put on the inverse modelling step. There the parameters for a model are to be determined by taking data obtained from the true system into account. The application in mind is located in geophysics, especially oil reservoir engineering, so special focus is put on methods which are relevant for system identification problems that arise in that context. Nonetheless the review should be interesting for everybody who works on system identification problems.--- Die Intention des Literaturreviews ist eine Übersicht über den Bereich der Systemidentifikation, im speziellen den Bereich der inversen Modellierung, zu erhalten. In diesem Schritt werden Parameter für ein Modell durch Konditionierung auf gemessene Daten eines realen Systems bestimmt. Das Anwendungsgebiet ist im Bereich der Geophysik, im speziellen Erdöl-Reservoirs, angesiedelt. Daher werden besonders die dort genutzten Methoden betrachtet