scholarly journals Research on Quantitative Investment Strategies Based on Deep Learning

Algorithms ◽  
2019 ◽  
Vol 12 (2) ◽  
pp. 35 ◽  
Author(s):  
Yujie Fang ◽  
Juan Chen ◽  
Zhengxuan Xue
Keyword(s):  
Deep Learning ◽  
Implied Volatility ◽  
Prediction Models ◽  
Short Term Memory ◽  
Yield Curve ◽  
Investment Strategy ◽  
Support Vector ◽  
Key Factors ◽  
Time Segment ◽  
Transaction Price

This paper takes 50 ETF options in the options market with high transaction complexity as the research goal. The Random Forest (RF) model, the Long Short-Term Memory network (LSTM) model, and the Support Vector Regression (SVR) model are used to predict 50 ETF price. Firstly, the original quantitative investment strategy is taken as the research object, and the 15 min trading frequency, which is more in line with the actual trading situation, is used, and then the Delta hedging concept of the options is introduced to control the risk of the quantitative investment strategy, to achieve the 15 min hedging strategy. Secondly, the final transaction price, buy price, highest price, lowest price, volume, historical volatility, and the implied volatility of the time segment marked with 50 ETF are the seven key factors affecting the price of 50 ETF. Then, two different types of LSTM-SVR models, LSTM-SVR I and LSTM-SVR II, are used to predict the final transaction price of the 50 ETF in the next time segment. In LSTM-SVR I model, the output of LSTM and seven key factors are combined as the input of SVR model. In LSTM-SVR II model, the hidden state vectors of LSTM and seven key factors are combined as the inputs of the SVR model. The results of the two LSTM-SVR models are compared with each other, and the better one is applied to the trading strategy. Finally, the benefit of the deep learning-based quantitative investment strategy, the resilience, and the maximum drawdown are used as indicators to judge the pros and cons of the research results. The accuracy and deviations of the LSTM-SVR prediction models are compared with those of the LSTM model and those of the RF model. The experimental results show that the quantitative investment strategy based on deep learning has higher returns than the traditional quantitative investment strategy, the yield curve is more stable, and the anti-fall performance is better.

scholarly journals New Reliability Studies of Data-Driven Aircraft Trajectory Prediction

Aerospace ◽  
2020 ◽  
Vol 7 (10) ◽  
pp. 145 ◽  
Author(s):  
Seyed Mohammad Hashemi ◽  
Ruxandra Mihaela Botez ◽  
Teodor Lucian Grigorie
Keyword(s):  
Deep Learning ◽  
Prediction Models ◽  
Short Term Memory ◽  
Federal Aviation Administration ◽  
Data Driven ◽  
Support Vector ◽  
Security Issue ◽  
Trajectory Prediction ◽  
Traffic Flow Management ◽  
Aircraft Trajectory

Two main factors, including regression accuracy and adversarial attack robustness, of six trajectory prediction models are measured in this paper using the traffic flow management system (TFMS) public dataset of fixed-wing aircraft trajectories in a specific route provided by the Federal Aviation Administration. Six data-driven regressors with their desired architectures, from basic conventional to advanced deep learning, are explored in terms of the accuracy and reliability of their predicted trajectories. The main contribution of the paper is that the existence of adversarial samples was characterized for an aircraft trajectory problem, which is recast as a regression task in this paper. In other words, although data-driven algorithms are currently the best regressors, it is shown that they can be attacked by adversarial samples. Adversarial samples are similar to training samples; however, they can cause finely trained regressors to make incorrect predictions, which poses a security concern for learning-based trajectory prediction algorithms. It is shown that although deep-learning-based algorithms (e.g., long short-term memory (LSTM)) have higher regression accuracy with respect to conventional classifiers (e.g., support vector regression (SVR)), they are more sensitive to crafted states, which can be carefully manipulated even to redirect their predicted states towards incorrect states. This fact poses a real security issue for aircraft as adversarial attacks can result in intentional and purposely designed collisions of built-in systems that can include any type of learning-based trajectory predictor.

scholarly journals A Novel Load Forecasting Approach Based on Smart Meter Data Using Advance Preprocessing and Hybrid Deep Learning

2021 ◽  
Vol 11 (6) ◽  
pp. 2742
Author(s):  
Fatih Ünal ◽  
Abdulaziz Almalaq ◽  
Sami Ekici
Keyword(s):  
Deep Learning ◽  
Energy Consumption ◽  
Prediction Models ◽  
Short Term Memory ◽  
Critical Role ◽  
Load Forecasting ◽  
Unified Framework ◽  
Short Term ◽  
Planning And Scheduling ◽  
Short Term Load Forecasting

Short-term load forecasting models play a critical role in distribution companies in making effective decisions in their planning and scheduling for production and load balancing. Unlike aggregated load forecasting at the distribution level or substations, forecasting load profiles of many end-users at the customer-level, thanks to smart meters, is a complicated problem due to the high variability and uncertainty of load consumptions as well as customer privacy issues. In terms of customers’ short-term load forecasting, these models include a high level of nonlinearity between input data and output predictions, demanding more robustness, higher prediction accuracy, and generalizability. In this paper, we develop an advanced preprocessing technique coupled with a hybrid sequential learning-based energy forecasting model that employs a convolution neural network (CNN) and bidirectional long short-term memory (BLSTM) within a unified framework for accurate energy consumption prediction. The energy consumption outliers and feature clustering are extracted at the advanced preprocessing stage. The novel hybrid deep learning approach based on data features coding and decoding is implemented in the prediction stage. The proposed approach is tested and validated using real-world datasets in Turkey, and the results outperformed the traditional prediction models compared in this paper.

scholarly journals PlncRNA-HDeep: plant long noncoding RNA prediction using hybrid deep learning based on two encoding styles

2021 ◽  
Vol 22 (S3) ◽  
Author(s):  
Jun Meng ◽  
Qiang Kang ◽  
Zheng Chang ◽  
Yushi Luan
Keyword(s):  
Deep Learning ◽  
Noncoding Rna ◽  
Nearest Neighbor ◽  
Short Term Memory ◽  
Biological Activities ◽  
Support Vector ◽  
Multiple Perspectives ◽  
K Nearest Neighbor ◽  
Rna Sequences ◽  
Deep Learning Model

Abstract Background Long noncoding RNAs (lncRNAs) play an important role in regulating biological activities and their prediction is significant for exploring biological processes. Long short-term memory (LSTM) and convolutional neural network (CNN) can automatically extract and learn the abstract information from the encoded RNA sequences to avoid complex feature engineering. An ensemble model learns the information from multiple perspectives and shows better performance than a single model. It is feasible and interesting that the RNA sequence is considered as sentence and image to train LSTM and CNN respectively, and then the trained models are hybridized to predict lncRNAs. Up to present, there are various predictors for lncRNAs, but few of them are proposed for plant. A reliable and powerful predictor for plant lncRNAs is necessary. Results To boost the performance of predicting lncRNAs, this paper proposes a hybrid deep learning model based on two encoding styles (PlncRNA-HDeep), which does not require prior knowledge and only uses RNA sequences to train the models for predicting plant lncRNAs. It not only learns the diversified information from RNA sequences encoded by p-nucleotide and one-hot encodings, but also takes advantages of lncRNA-LSTM proposed in our previous study and CNN. The parameters are adjusted and three hybrid strategies are tested to maximize its performance. Experiment results show that PlncRNA-HDeep is more effective than lncRNA-LSTM and CNN and obtains 97.9% sensitivity, 95.1% precision, 96.5% accuracy and 96.5% F1 score on Zea mays dataset which are better than those of several shallow machine learning methods (support vector machine, random forest, k-nearest neighbor, decision tree, naive Bayes and logistic regression) and some existing tools (CNCI, PLEK, CPC2, LncADeep and lncRNAnet). Conclusions PlncRNA-HDeep is feasible and obtains the credible predictive results. It may also provide valuable references for other related research.

scholarly journals Deep Learning Methods for Classification of Certain Abnormalities in Echocardiography

Electronics ◽  
2021 ◽  
Vol 10 (4) ◽  
pp. 495
Author(s):  
Imayanmosha Wahlang ◽  
Arnab Kumar Maji ◽  
Goutam Saha ◽  
Prasun Chakrabarti ◽  
Michal Jasinski ◽  
...  
Keyword(s):  
Deep Learning ◽  
Short Term Memory ◽  
Support Vector ◽  
Variational Autoencoder ◽  
Different Types ◽  
Static Images ◽  
Long Short Term Memory ◽  
2D And 3D ◽  
Better Than

This article experiments with deep learning methodologies in echocardiogram (echo), a promising and vigorously researched technique in the preponderance field. This paper involves two different kinds of classification in the echo. Firstly, classification into normal (absence of abnormalities) or abnormal (presence of abnormalities) has been done, using 2D echo images, 3D Doppler images, and videographic images. Secondly, based on different types of regurgitation, namely, Mitral Regurgitation (MR), Aortic Regurgitation (AR), Tricuspid Regurgitation (TR), and a combination of the three types of regurgitation are classified using videographic echo images. Two deep-learning methodologies are used for these purposes, a Recurrent Neural Network (RNN) based methodology (Long Short Term Memory (LSTM)) and an Autoencoder based methodology (Variational AutoEncoder (VAE)). The use of videographic images distinguished this work from the existing work using SVM (Support Vector Machine) and also application of deep-learning methodologies is the first of many in this particular field. It was found that deep-learning methodologies perform better than SVM methodology in normal or abnormal classification. Overall, VAE performs better in 2D and 3D Doppler images (static images) while LSTM performs better in the case of videographic images.

A semiautomatic annotation approach for sentiment analysis

2021 ◽  
pp. 016555152110065
Author(s):  
Rahma Alahmary ◽  
Hmood Al-Dossari
Keyword(s):  
Deep Learning ◽  
Sentiment Analysis ◽  
Short Term Memory ◽  
Machine Learning Algorithms ◽  
Support Vector ◽  
Short Term ◽  
Term Memory ◽  
Annotation Process ◽  
Learning Classifiers ◽  
Long Short Term Memory

Sentiment analysis (SA) aims to extract users’ opinions automatically from their posts and comments. Almost all prior works have used machine learning algorithms. Recently, SA research has shown promising performance in using the deep learning approach. However, deep learning is greedy and requires large datasets to learn, so it takes more time for data annotation. In this research, we proposed a semiautomatic approach using Naïve Bayes (NB) to annotate a new dataset in order to reduce the human effort and time spent on the annotation process. We created a dataset for the purpose of training and testing the classifier by collecting Saudi dialect tweets. The dataset produced from the semiautomatic model was then used to train and test deep learning classifiers to perform Saudi dialect SA. The accuracy achieved by the NB classifier was 83%. The trained semiautomatic model was used to annotate the new dataset before it was fed into the deep learning classifiers. The three deep learning classifiers tested in this research were convolutional neural network (CNN), long short-term memory (LSTM) and bidirectional long short-term memory (Bi-LSTM). Support vector machine (SVM) was used as the baseline for comparison. Overall, the performance of the deep learning classifiers exceeded that of SVM. The results showed that CNN reported the highest performance. On one hand, the performance of Bi-LSTM was higher than that of LSTM and SVM, and, on the other hand, the performance of LSTM was higher than that of SVM. The proposed semiautomatic annotation approach is usable and promising to increase speed and save time and effort in the annotation process.

Forecasting the risk at infractions: an ensemble comparison of machine learning approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Lei Li ◽  
Desheng Wu
Keyword(s):  
Machine Learning ◽  
Prediction Models ◽  
Short Term Memory ◽  
Model Performance ◽  
Large Data ◽  
Support Vector ◽  
Learning Approaches ◽  
Content Type ◽  
Day To Day Operations ◽  
Prediction Approach

PurposeThe infraction of securities regulations (ISRs) of listed firms in their day-to-day operations and management has become one of common problems. This paper proposed several machine learning approaches to forecast the risk at infractions of listed corporates to solve financial problems that are not effective and precise in supervision.Design/methodology/approachThe overall proposed research framework designed for forecasting the infractions (ISRs) include data collection and cleaning, feature engineering, data split, prediction approach application and model performance evaluation. We select Logistic Regression, Naïve Bayes, Random Forest, Support Vector Machines, Artificial Neural Network and Long Short-Term Memory Networks (LSTMs) as ISRs prediction models.FindingsThe research results show that prediction performance of proposed models with the prior infractions provides a significant improvement of the ISRs than those without prior, especially for large sample set. The results also indicate when judging whether a company has infractions, we should pay attention to novel artificial intelligence methods, previous infractions of the company, and large data sets.Originality/valueThe findings could be utilized to address the problems of identifying listed corporates' ISRs at hand to a certain degree. Overall, results elucidate the value of the prior infraction of securities regulations (ISRs). This shows the importance of including more data sources when constructing distress models and not only focus on building increasingly more complex models on the same data. This is also beneficial to the regulatory authorities.

scholarly journals Comparative analysis of Kernel-based versus BFGS-ANN and deep learning methods in monthly reference evaporation estimation

2020 ◽  
Author(s):  
Mohammad Taghi Sattari ◽  
Halit Apaydin ◽  
Shahab Shamshirband ◽  
Amir Mosavi
Keyword(s):  
Deep Learning ◽  
Minimum Temperature ◽  
Meteorological Parameters ◽  
Short Term Memory ◽  
Sunshine Duration ◽  
Gaussian Process Regression ◽  
Support Vector ◽  
Ann Model ◽  
Learning Methods ◽  
Average Maximum

Abstract. Proper estimation of the reference evapotranspiration (ET0) amount is an indispensable matter for agricultural water management in the efficient use of water. The aim of study is to estimate the amount of ET0 with a different machine and deep learning methods by using minimum meteorological parameters in the Corum region which is an arid and semi-arid climate with an important agricultural center of Turkey. In this context, meteorological variables of average, maximum and minimum temperature, sunshine duration, wind speed, average, maximum, and minimum relative humidity are used as input data monthly. Two different kernel-based (Gaussian Process Regression (GPR) and Support Vector Regression (SVR)) methods, BFGS-ANN and Long short-term memory models were used to estimate ET0 amounts in 10 different combinations. According to the results obtained, all four methods used predicted ET0 amounts in acceptable accuracy and error levels. BFGS-ANN model showed higher success than the others. In kernel-based GPR and SVR methods, Pearson VII function-based universal kernel was the most successful kernel function. Besides, the scenario that is related to temperature in all scenarios used, including average temperature, maximum and minimum temperature, and sunshine duration gave the best results. The second-best scenario was the one that covers only the sunshine duration. In this case, the ANN (BFGS-ANN) model, which is optimized with the BFGS method that uses only the sunshine duration, can be estimated with the 0.971 correlation coefficient of ET0 without the need for other meteorological parameters.

scholarly journals Learners Demographics Classification on MOOCs During the COVID-19: Author Profiling via Deep Learning Based on Semantic and Syntactic Representations

2021 ◽  
Vol 6 ◽  
Author(s):  
Tahani Aljohani ◽  
Alexandra I. Cristea
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Deep Learning ◽  
Prediction Models ◽  
Short Term Memory ◽  
Methodological Approach ◽  
High Accuracy ◽  
Directional Model ◽  
Textual Representations ◽  
The One

Massive Open Online Courses (MOOCs) have become universal learning resources, and the COVID-19 pandemic is rendering these platforms even more necessary. In this paper, we seek to improve Learner Profiling (LP), i.e. estimating the demographic characteristics of learners in MOOC platforms. We have focused on examining models which show promise elsewhere, but were never examined in the LP area (deep learning models) based on effective textual representations. As LP characteristics, we predict here the employment status of learners. We compare sequential and parallel ensemble deep learning architectures based on Convolutional Neural Networks and Recurrent Neural Networks, obtaining an average high accuracy of 96.3% for our best method. Next, we predict the gender of learners based on syntactic knowledge from the text. We compare different tree-structured Long-Short-Term Memory models (as state-of-the-art candidates) and provide our novel version of a Bi-directional composition function for existing architectures. In addition, we evaluate 18 different combinations of word-level encoding and sentence-level encoding functions. Based on these results, we show that our Bi-directional model outperforms all other models and the highest accuracy result among our models is the one based on the combination of FeedForward Neural Network and the Stack-augmented Parser-Interpreter Neural Network (82.60% prediction accuracy). We argue that our prediction models recommended for both demographics characteristics examined in this study can achieve high accuracy. This is additionally also the first time a sound methodological approach toward improving accuracy for learner demographics classification on MOOCs was proposed.

scholarly journals Spatiotemporal Traffic Flow Prediction with KNN and LSTM

2019 ◽  
Vol 2019 ◽  
pp. 1-10 ◽  
Author(s):  
Xianglong Luo ◽  
Danyang Li ◽  
Yu Yang ◽  
Shengrui Zhang
Keyword(s):  
Support Vector Regression ◽  
Traffic Flow ◽  
Prediction Models ◽  
Short Term Memory ◽  
Transportation Systems ◽  
Support Vector ◽  
K Nearest Neighbor ◽  
Traffic Flow Prediction ◽  
Flow Prediction ◽  
Proposed Model

The traffic flow prediction is becoming increasingly crucial in Intelligent Transportation Systems. Accurate prediction result is the precondition of traffic guidance, management, and control. To improve the prediction accuracy, a spatiotemporal traffic flow prediction method is proposed combined with k-nearest neighbor (KNN) and long short-term memory network (LSTM), which is called KNN-LSTM model in this paper. KNN is used to select mostly related neighboring stations with the test station and capture spatial features of traffic flow. LSTM is utilized to mine temporal variability of traffic flow, and a two-layer LSTM network is applied to predict traffic flow respectively in selected stations. The final prediction results are obtained by result-level fusion with rank-exponent weighting method. The prediction performance is evaluated with real-time traffic flow data provided by the Transportation Research Data Lab (TDRL) at the University of Minnesota Duluth (UMD) Data Center. Experimental results indicate that the proposed model can achieve a better performance compared with well-known prediction models including autoregressive integrated moving average (ARIMA), support vector regression (SVR), wavelet neural network (WNN), deep belief networks combined with support vector regression (DBN-SVR), and LSTM models, and the proposed model can achieve on average 12.59% accuracy improvement.

scholarly journals A Comparative Study of Bitcoin Price Prediction Using Deep Learning

Mathematics ◽  
2019 ◽  
Vol 7 (10) ◽  
pp. 898 ◽  
Author(s):  
Suhwan Ji ◽  
Jongmin Kim ◽  
Hyeonseung Im
Keyword(s):  
Neural Network ◽  
Deep Learning ◽  
Prediction Models ◽  
Short Term Memory ◽  
Learning Methods ◽  
The Public ◽  
Price Prediction ◽  
Profitability Analysis ◽  
The Media ◽  
Long Short Term Memory

Bitcoin has recently received a lot of attention from the media and the public due to its recent price surge and crash. Correspondingly, many researchers have investigated various factors that affect the Bitcoin price and the patterns behind its fluctuations, in particular, using various machine learning methods. In this paper, we study and compare various state-of-the-art deep learning methods such as a deep neural network (DNN), a long short-term memory (LSTM) model, a convolutional neural network, a deep residual network, and their combinations for Bitcoin price prediction. Experimental results showed that although LSTM-based prediction models slightly outperformed the other prediction models for Bitcoin price prediction (regression), DNN-based models performed the best for price ups and downs prediction (classification). In addition, a simple profitability analysis showed that classification models were more effective than regression models for algorithmic trading. Overall, the performances of the proposed deep learning-based prediction models were comparable.

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