Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/848
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dc.contributor.authorSezer, Ömer Berat-
dc.contributor.authorÖzbayoğlu, Ahmet Murat-
dc.date.accessioned2019-03-25T12:15:17Z
dc.date.available2019-03-25T12:15:17Z
dc.date.issued2018-09
dc.identifier.citationSezer, O. B., & Ozbayoglu, A. M. (2018). Algorithmic financial trading with deep convolutional neural networks: Time series to image conversion approach. Applied Soft Computing, 70, 525-538.en_US
dc.identifier.urihttps://doi.org/10.1016/j.asoc.2018.04.024-
dc.identifier.urihttps://hdl.handle.net/20.500.11851/848-
dc.description.abstractComputational intelligence techniques for financial trading systems have always been quite popular. In the last decade, deep learning models start getting more attention, especially within the image processing community. In this study, we propose a novel algorithmic trading model CNN-TA using a 2-D convolutional neural network based on image processing properties. In order to convert financial time series into 2-D images, 15 different technical indicators each with different parameter selections are utilized. Each indicator instance generates data for a 15 day period. As a result, 15 x 15 sized 2-D images are constructed. Each image is then labeled as Buy, Sell or Hold depending on the hills and valleys of the original time series. The results indicate that when compared with the Buy & Hold Strategy and other common trading systems over a long out-of-sample period, the trained model provides better results for stocks and ETFs. (C) 2018 Elsevier B.V. All rights reserved.en_US
dc.language.isoenen_US
dc.publisherElsevier Ltden_US
dc.relation.ispartofApplied Soft Computing Journalen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectFinancial forecastingen_US
dc.subjectConvolutional neural networksen_US
dc.subjectStock marketen_US
dc.subjectDeep learningen_US
dc.subjectTechnical analysisen_US
dc.subjectAlgorithmic tradingen_US
dc.titleAlgorithmic Financial Trading With Deep Convolutional Neural Networks: Time Series To Image Conversion Approachen_US
dc.typeArticleen_US
dc.departmentFaculties, Faculty of Engineering, Department of Computer Engineeringen_US
dc.departmentFakülteler, Mühendislik Fakültesi, Bilgisayar Mühendisliği Bölümütr_TR
dc.identifier.volume70en_US
dc.identifier.startpage525en_US
dc.identifier.endpage538en_US
dc.relation.tubitak[215E248]
dc.authorid0000-0001-7998-5735-
dc.identifier.wosWOS:000443296000034en_US
dc.identifier.scopus2-s2.0-85048331794en_US
dc.institutionauthorÖzbayoğlu, Ahmet Murat-
dc.institutionauthorSezer, Ömer Berat-
dc.identifier.doi10.1016/j.asoc.2018.04.024-
dc.identifier.doi10.1016/j.asoc.2018.04.024-
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
item.openairetypeArticle-
item.languageiso639-1en-
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
crisitem.author.dept02.1. Department of Artificial Intelligence Engineering-
Appears in Collections:Bilgisayar Mühendisliği Bölümü / Department of Computer Engineering
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection
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