英文标题:
《An Artificial Neural Network-based Stock Trading System Using Technical
Analysis and Big Data Framework》
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作者:
O.B. Sezer, M. Ozbayoglu, E. Dogdu
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最新提交年份:
2017
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英文摘要:
In this paper, a neural network-based stock price prediction and trading system using technical analysis indicators is presented. The model developed first converts the financial time series data into a series of buy-sell-hold trigger signals using the most commonly preferred technical analysis indicators. Then, a Multilayer Perceptron (MLP) artificial neural network (ANN) model is trained in the learning stage on the daily stock prices between 1997 and 2007 for all of the Dow30 stocks. Apache Spark big data framework is used in the training stage. The trained model is then tested with data from 2007 to 2017. The results indicate that by choosing the most appropriate technical indicators, the neural network model can achieve comparable results against the Buy and Hold strategy in most of the cases. Furthermore, fine tuning the technical indicators and/or optimization strategy can enhance the overall trading performance.
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中文摘要:
本文提出了一种基于神经网络的股票价格预测与交易系统,该系统采用技术分析指标。开发的模型首先使用最常用的首选技术分析指标将金融时间序列数据转换为一系列买入卖出持有触发信号。然后,在学习阶段对1997年至2007年间所有Dow30股票的日股价训练多层感知器(MLP)人工神经网络(ANN)模型。培训阶段使用Apache Spark大数据框架。然后使用2007年至2017年的数据对训练后的模型进行测试。结果表明,通过选择最合适的技术指标,神经网络模型可以在大多数情况下取得与买入并持有策略相当的结果。此外,微调技术指标和/或优化策略可以提高整体交易绩效。
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分类信息:
一级分类:Computer Science 计算机科学
二级分类:Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述:Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的,集中在技术和工具,使挑战性的计算模拟能够执行,其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4(经济学)中的材料。
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一级分类:Quantitative Finance 数量金融学
二级分类:Trading and Market Microstructure 交易与市场微观结构
分类描述:Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构,流动性,交易和拍卖设计,自动化交易,基于代理的建模和做市
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一级分类:Statistics 统计学
二级分类:Machine Learning 机器学习
分类描述:Covers machine learning papers (supervised, unsupervised, semi-supervised learning, graphical models, reinforcement learning, bandits, high dimensional inference, etc.) with a statistical or theoretical grounding
覆盖机器学习论文(监督,无监督,半监督学习,图形模型,强化学习,强盗,高维推理等)与统计或理论基础
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