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

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

Financial time series forecasting with deep learning : A systematic literature review: 2005-2019

Financial time series forecasting is undoubtedly the top choice of computational intelligence for finance researchers in both academia and the finance industry due to its broad implementation areas and substantial impact. Machine Learning (ML) researchers have created various models, and a vast number of studies have been published accordingly. As such, a significant number of surveys exist covering ML studies on financial time series forecasting. Lately, Deep Learning (DL) models have appeared within the field, with results that significantly outperform their traditional ML counterparts. Even though there is a growing interest in developing models for financial time series forecasting, there is a lack of review papers that solely focus on DL for finance. Hence, the motivation of this paper is to provide a comprehensive literature review of DL studies on financial time series forecasting implementation. We not only categorized the studies according to their intended forecasting implementation areas, such as index, forex, and commodity forecasting, but we also grouped them based on their DL model choices, such as Convolutional Neural Networks (CNNs), Deep Belief Networks (DBNs), and Long-Short Term Memory (LSTM). We also tried to envision the future of the field by highlighting its possible setbacks and opportunities for the benefit of interested researchers. (C) 2020 Elsevier B.V. All rights reserved

MIS-IoT: Modular Intelligent Server Based Internet of Things Framework with Big Data and Machine Learning

2018 IEEE International Conference on Big Data (2018: Seattle, WA)Internet of Things world is getting bigger everyday with new developments in all fronts. The new IoT world requires better handling of big data and better usage with more intelligence integrated in all phases. Here we present MIS-IoT (Modular Intelligent Server Based Internet of Things Framework with Big Data and Machine Learning) framework, which is »modular» and therefore open for new extensions, »intelligent» by providing machine learning and deep learning methods on »big data» coming from IoT objects, »server-based» in a service-oriented way by offering services via standart Web protocols. We present an overview of the design and implementation details of MIS-IoT along with a case study evaluation of the system, showing the intelligence capabilities in anomaly detection over real-time weather data. © 2018 IEEE

Weather Data Analysis and Sensor Fault Detection Using An Extended IoT Framework with Semantics, Big Data, and Machine Learning

IEEE International Conference on Big Data (IEEE Big Data) (2017 : Boston, MA)In recent years, big data and Internet of Things (IoT) implementations started getting more attention. Researchers focused on developing big data analytics solutions using machine learning models. Machine learning is a rising trend in this field due to its ability to extract hidden features and patterns even in highly complex datasets. In this study, we used our Big Data IoT Framework in a weather data analysis use case. We implemented weather clustering and sensor anomaly detection using a publicly available dataset. We provided the implementation details of each framework layer (acquisition, ETL, data processing, learning and decision) for this particular use case. Our chosen learning model within the library is Scikit-Learn based k-means clustering. The data analysis results indicate that it is possible to extract meaningful information from a relatively complex dataset using our framework