Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/848
Title: Algorithmic financial trading with deep convolutional neural networks: Time series to image conversion approach
Authors: Sezer, Ömer Berat
Özbayoğlu, Ahmet Murat
Keywords: Financial forecasting
Convolutional neural networks
Stock market
Deep learning
Technical analysis
Algorithmic trading
Issue Date: Sep-2018
Publisher: Elsevier Ltd
Source: Sezer, 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.
Abstract: Computational 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.
URI: https://doi.org/10.1016/j.asoc.2018.04.024
https://hdl.handle.net/20.500.11851/848
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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