We present an Artificial Neural Network (ANN) approach to predict stock market indices, particularly with respect to the forecast of their trend movements up or down. Exploiting different Neural Networks architectures, we provide numerical analysis of concrete financial time series. In particular, after a brief résumé of the existing literature on the subject, we consider the Multi-layer Perceptron (MLP), the Convolutional Neural Networks (CNN), and the Long Short-Term Memory (LSTM) recurrent neural networks techniques. We focus on the importance of choosing the correct input features, along with their preprocessing, for the specific learning algo- rithm one wants to use. Eventually, we consider the S&P500 historical time series, predicting trend on the basis of data from the past days, and proposing a novel approach based on combination of wavelets and CNN, which outperforms the basic neural networks ones. We show, that neural networks are able to predict financial time series movements even trained only on plain time series data and propose more ways to improve results

Artificial Neural Networks architectures for stock price prediction: comparisons and applications

DI PERSIO, Luca
;
2016

Abstract

We present an Artificial Neural Network (ANN) approach to predict stock market indices, particularly with respect to the forecast of their trend movements up or down. Exploiting different Neural Networks architectures, we provide numerical analysis of concrete financial time series. In particular, after a brief résumé of the existing literature on the subject, we consider the Multi-layer Perceptron (MLP), the Convolutional Neural Networks (CNN), and the Long Short-Term Memory (LSTM) recurrent neural networks techniques. We focus on the importance of choosing the correct input features, along with their preprocessing, for the specific learning algo- rithm one wants to use. Eventually, we consider the S&P500 historical time series, predicting trend on the basis of data from the past days, and proposing a novel approach based on combination of wavelets and CNN, which outperforms the basic neural networks ones. We show, that neural networks are able to predict financial time series movements even trained only on plain time series data and propose more ways to improve results
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11562/955101
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