In The Journal of supercomputing
Financial time series have been extensively studied within the past decades; however, the advent of machine learning and deep neural networks opened new horizons to apply supercomputing techniques to extract more insights from the underlying patterns of price data. This paper presents a tri-state labeling approach to classify the underlying patterns in price data into up, down and no-action classes. The introduction of a no-action state in our novel approach alleviates the burden of denoising the dataset as a preprocessing task. The performance of our labeling algorithm is experimented with using machine learning and deep learning models. The framework is augmented by applying the Bayesian optimization technique for the selection of the best tuning values of the hyperparameters. The price trend prediction module generates the required trading signals. The results show that the average annualized Sharpe ratio as the trading performance metric is about 2.823, indicating the framework produces excellent cumulative returns.
Dezhkam Arsalan, Manzuri Mohammad Taghi, Aghapour Ahmad, Karimi Afshin, Rabiee Ali, Shalmani Shervin Manzuri
2022-Sep-29
Classification, Deep learning, Feature engineering, Financial time series, Machine learning, Trend prediction
