scholarly journals Survey on the application of deep learning in algorithmic trading

2021 ◽  
Vol 1 (4) ◽  
pp. 345-361
Author(s):  
Yongfeng Wang ◽  
◽  
Guofeng Yan
Keyword(s):  
Deep Learning ◽  
Trading Strategies ◽  
Research Progress ◽  
Algorithmic Trading ◽  
Learning Technology ◽  
Research Issues ◽  
Trading Systems ◽  
Financial Applications ◽  
Trading Model ◽  
Stable Performance

<abstract> <p>Algorithmic trading is one of the most concerned directions in financial applications. Compared with traditional trading strategies, algorithmic trading applications perform forecasting and arbitrage with higher efficiency and more stable performance. Numerous studies on algorithmic trading models using deep learning have been conducted to perform trading forecasting and analysis. In this article, we firstly summarize several deep learning methods that have shown good performance in algorithmic trading applications, and briefly introduce some applications of deep learning in algorithmic trading. We then try to provide the latest snapshot application for algorithmic trading based on deep learning technology, and show the different implementations of the developed algorithmic trading model. Finally, some possible research issues are suggested in the future. The prime objectives of this paper are to provide a comprehensive research progress of deep learning applications in algorithmic trading, and benefit for subsequent research of computer program trading systems.</p> </abstract>

scholarly journals Reliable Signals Based on Fisher Transform for Algorithmic Trading

2018 ◽  
Vol 11 (1) ◽  
pp. 87-102
Author(s):  
Cristian Păuna
Keyword(s):  
Financial Markets ◽  
Price Volatility ◽  
Trading Strategies ◽  
Algorithmic Trading ◽  
Market Participant ◽  
Trading Systems ◽  
Functional Parameters ◽  
The Common ◽  
Set Up ◽  
Very High

Abstract Trading and investment on financial markets are common activities today. A very high number of investors, companies, public or private funds are buying and selling every day with a single purpose: the profit. The common questions for any market participant are: when to buy, when to sell and when is better to stay away from the market risk. In order to answer all these questions, many trading strategies are used to establish the best moments to entry or to exit the trades. Due to the large price volatility, a significant part of the trades is set up automatically today by computers using algorithmic trading procedures. For this particular field, special aspects must be met in order to automate the trading process. This paper presents one of these mathematical models used in automated trading systems, a method based on the Fisher transform. A general form of this method will be presented, the functional parameters and the way to optimize them in order to reduce the risk. It will be also suggested a method to build reliable trading signals with the Fisher function in order to be automated. Three different trading signal types will be explained together with the significance of the functional parameters in the price field. A code sample will be included in this paper to prove the simplicity of this method. Real results obtained with the Fisher trading signals will be also presented, compared and analyzed in order to show how this method can be implemented in algorithmic trading.

scholarly journals Predict Forex Trend via Convolutional Neural Networks

2018 ◽  
Vol 29 (1) ◽  
pp. 941-958 ◽  
Author(s):  
Yun-Cheng Tsai ◽  
Jun-Hao Chen ◽  
Jun-Jie Wang
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Deep Learning ◽  
Convolutional Neural Networks ◽  
Quantitative Data ◽  
Input Data ◽  
Trading Strategies ◽  
Financial Asset ◽  
Time Series Modeling ◽  
Trading Model

Abstract Deep learning is an effective approach to solving image recognition problems. People draw intuitive conclusions from trading charts. This study uses the characteristics of deep learning to train computers in imitating this kind of intuition in the context of trading charts. The main goal of our approach is combining the time-series modeling and convolutional neural networks (CNNs) to build a trading model. We propose three steps to build the trading model. First, we preprocess the input data from quantitative data to images. Second, we use a CNN, which is a type of deep learning, to train our trading model. Third, we evaluate the model’s performance in terms of the accuracy of classification. The experimental results show that if the strategy is clear enough to make the images obviously distinguishable the CNN model can predict the prices of a financial asset. Hence, our approach can help devise trading strategies and help clients automatically obtain personalized trading strategies.

scholarly journals Research Progress of Deep Learning in the Diagnosis and Prevention of Stroke

2021 ◽  
Vol 2021 ◽  
pp. 1-5
Author(s):  
Siqi Zhang ◽  
Miao Zhang ◽  
Shuai Ma ◽  
Qingyong Wang ◽  
Youyang Qu ◽  
...  
Keyword(s):  
Deep Learning ◽  
Future Development ◽  
Relevant Literature ◽  
Research Progress ◽  
Learning Technology ◽  
Learning Techniques ◽  
The Future ◽  
Development Prospects

In order to evaluate the importance of deep learning techniques in stroke diseases, this paper systematically reviews the relevant literature. Deep learning techniques have a significant impact on the diagnosis, treatment, and prediction of stroke. In addition, this study also discusses the current bottlenecks and the future development prospects of deep learning technology.

scholarly journals The Features of Building a Portfolio of Trading Strategies Using the SAS OPTMODEL Procedure

Computation ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 77
Author(s):  
Oleksandr Terentiev ◽  
Tatyana Prosiankina-Zharova ◽  
Volodymyr Savastiyanov ◽  
Valerii Lakhno ◽  
Vira Kolmakova
Keyword(s):  
Information Technology ◽  
Financial Market ◽  
Trading Strategies ◽  
Algorithmic Trading ◽  
Electronic Trading ◽  
Trading Systems ◽  
Portfolio Strategies ◽  
Current State ◽  
Shrinkage Method ◽  
Original Information

The article describes the original information technology of the algorithmic trading, designed to solve the problem of forming the optimal portfolio of trade strategies. The methodology of robust optimization, using the Ledoit–Wolf shrinkage method for obtaining stable estimates of the covariance matrix of algorithmic strategies, was used for the formation of a portfolio of trade strategies. The corresponding software was implemented by SAS OPTMODEL Procedure. The paper deals with a portfolio of trade strategies built for highly-profitable, but also highly risky financial tools—cryptocurrencies. Available bitcoin assets were divided into a corresponding proportion for each of the recommended portfolio strategies, and during the selected period (one calendar month) were used for this research. The portfolio of trade strategies is rebuilt at the end of the period (every month) based on the results of trade during the period, in accordance with the conditions of risk minimizing or income maximizing. Trading strategies work in parallel, being in a state of waiting for a relevant trading signal. Strategies can be changed by moving the parameters in accordance with the current state of the financial market, removed if ineffective, and replaced where necessary. The efficiency of using a robust decision-making method in the context of uncertainty regarding cryptocurrency trading was confirmed by the results of real trading for the Bitcoin/Dollar pair. Implementation of the offered information technology in electronic trading systems will allow risk reduction as a result of making incorrect decisions or delays in making decisions in a systemic trading.

Smart teaching mode based on particle swarm image recognition and human-computer interaction deep learning

2020 ◽  
Vol 39 (4) ◽  
pp. 5699-5711
Author(s):  
Shirong Long ◽  
Xuekong Zhao
Keyword(s):  
Feature Extraction ◽  
Particle Swarm Optimization ◽  
Deep Learning ◽  
Real Time ◽  
Image Recognition ◽  
Particle Swarm ◽  
Learning Technology ◽  
Search Performance ◽  
Swarm Optimization ◽  
Teaching Mode

The smart teaching mode overcomes the shortcomings of traditional teaching online and offline, but there are certain deficiencies in the real-time feature extraction of teachers and students. In view of this, this study uses the particle swarm image recognition and deep learning technology to process the intelligent classroom video teaching image and extracts the classroom task features in real time and sends them to the teacher. In order to overcome the shortcomings of the premature convergence of the standard particle swarm optimization algorithm, an improved strategy for multiple particle swarm optimization algorithms is proposed. In order to improve the premature problem in the search performance algorithm of PSO algorithm, this paper combines the algorithm with the useful attributes of other algorithms to improve the particle diversity in the algorithm, enhance the global search ability of the particle, and achieve effective feature extraction. The research indicates that the method proposed in this paper has certain practical effects and can provide theoretical reference for subsequent related research.

The profitability of algorithmic trading systems based on football sentiment

2020 ◽  
Vol 42 (1) ◽  
pp. 33-46
Author(s):  
Raúl Gómez-Martínez ◽  
Camila Marqués-Bogliani ◽  
Jessica Paule-Vianez
Keyword(s):  
Financial Markets ◽  
Investment Decisions ◽  
Futures Market ◽  
Algorithmic Trading ◽  
Investment Strategies ◽  
Measurable Effect ◽  
Behavioural Finance ◽  
Trading Systems ◽  
European Football

Behavioural finance has shown that investment decisions are the result of not just rational but also emotional brain processes. On the assumption that emotions affect financial markets, it would seem likely that football results might have a measurable effect on financial markets. To test this, this study describes three algorithmic trading systems based exclusively on the results of three top European football teams (Juventus, Bayern München and Paris St Germain) opening long or short positions in the next market season of the futures market of the index of each country (MIB (Milano Italia Borsa), DAX (Deutscher Aktien Index) and CAC (Cotation Assistée en Continu). Depending on the outcome of the last game played a long position was taken after a victory and a short position after a draw or defeat. The results showed that the algorithmic systems were profitable in the case of Juventus and Bayern whereas in the case of PSG, the system was profitable, but in an inverse way. This study shows that investment strategies that take account of sports sentiment could have a profitable outcome.

scholarly journals Automatic Detection of Arrhythmia Based on Multi-Resolution Representation of ECG Signal

Sensors ◽  
2020 ◽  
Vol 20 (6) ◽  
pp. 1579
Author(s):  
Dongqi Wang ◽  
Qinghua Meng ◽  
Dongming Chen ◽  
Hupo Zhang ◽  
Lisheng Xu
Keyword(s):  
Neural Networks ◽  
Deep Learning ◽  
Deep Neural Networks ◽  
Channel Model ◽  
Expert Knowledge ◽  
Automatic Detection ◽  
Data Representation ◽  
Learning Technology ◽  
Arrhythmia Detection ◽  
Automatic Feature Extraction

Automatic detection of arrhythmia is of great significance for early prevention and diagnosis of cardiovascular disease. Traditional feature engineering methods based on expert knowledge lack multidimensional and multi-view information abstraction and data representation ability, so the traditional research on pattern recognition of arrhythmia detection cannot achieve satisfactory results. Recently, with the increase of deep learning technology, automatic feature extraction of ECG data based on deep neural networks has been widely discussed. In order to utilize the complementary strength between different schemes, in this paper, we propose an arrhythmia detection method based on the multi-resolution representation (MRR) of ECG signals. This method utilizes four different up to date deep neural networks as four channel models for ECG vector representations learning. The deep learning based representations, together with hand-crafted features of ECG, forms the MRR, which is the input of the downstream classification strategy. The experimental results of big ECG dataset multi-label classification confirm that the F1 score of the proposed method is 0.9238, which is 1.31%, 0.62%, 1.18% and 0.6% higher than that of each channel model. From the perspective of architecture, this proposed method is highly scalable and can be employed as an example for arrhythmia recognition.

scholarly journals Modeling vegetation greenness and its climate sensitivity with deep‐learning technology

2021 ◽  
Author(s):  
Zhiting Chen ◽  
Hongyan Liu ◽  
Chongyang Xu ◽  
Xiuchen Wu ◽  
Boyi Liang ◽  
...  
Keyword(s):  
Deep Learning ◽  
Climate Sensitivity ◽  
Learning Technology ◽  
Vegetation Greenness
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