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Long Short-Term Memory (LSTM) neural network models have become the cornerstone for sequential data modeling in numerous applications, ranging from natural language processing to time series forecasting. Despite their success, the problem…

Deciding the best future execution time is a critical task in many business activities while evolving time series forecasting, and optimal timing strategy provides such a solution, which is driven by observed data. This solution has plenty…

In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…

Long Short-Term Memory (LSTM) is a prominent recurrent neural network for extracting dependencies from sequential data such as time-series and multi-view data, having achieved impressive results for different visual recognition tasks. A…

Long memory in the sense of slowly decaying autocorrelations is a stylized fact in many time series from economics and finance. The fractionally integrated process is the workhorse model for the analysis of these time series. Nevertheless,…

Recurrent neural networks and sequence to sequence models require a predetermined length for prediction output length. Our model addresses this by allowing the network to predict a variable length output in inference. A new loss function…

This paper explores the novel deep learning Transformers architectures for high-frequency Bitcoin-USDT log-return forecasting and compares them to the traditional Long Short-Term Memory models. A hybrid Transformer model, called…

Order placement tactics play a crucial role in high-frequency trading algorithms and their design is based on understanding the dynamics of the order book. Using high quality high-frequency data and a set of microstructural features, we…

Predicting a fast and accurate model for stock price forecasting is been a challenging task and this is an active area of research where it is yet to be found which is the best way to forecast the stock price. Machine learning, deep…

Neural networks have achieved tremendous success in a large variety of applications. However, their memory footprint and computational demand can render them impractical in application settings with limited hardware or energy resources. In…

Long Short-Term Memory (LSTM) units have the ability to memorise and use long-term dependencies between inputs to generate predictions on time series data. We introduce the concept of modifying the cell state (memory) of LSTMs using…

Long-term investors, different from short-term traders, focus on examining the underlying forces that affect the well-being of a company. They rely on fundamental analysis which attempts to measure the intrinsic value an equity.…

Many scientific areas, from computer science to the environmental sciences and finance, give rise to multivariate time series which exhibit long memory, or loosely put, a slow decay in their autocorrelation structure. Efficient modelling…

Recurrent neural networks are used to forecast time series in finance, climate, language, and from many other domains. Reservoir computers are a particularly easily trainable form of recurrent neural network. Recently, a "next-generation"…

Our study focuses on comparing the performance and resource requirements between different Long Short-Term Memory (LSTM) neural network architectures and an ANN specialized architecture for forex market prediction. We analyze the execution…

Sequence learning, prediction and replay have been proposed to constitute the universal computations performed by the neocortex. The Hierarchical Temporal Memory (HTM) algorithm realizes these forms of computation. It learns sequences in an…

Predicting future stock prices and their movement patterns is a complex problem. Hence, building a portfolio of capital assets using the predicted prices to achieve the optimization between its return and risk is an even more difficult…

The use of low numerical precision is a fundamental optimization included in modern accelerators for Deep Neural Networks (DNNs). The number of bits of the numerical representation is set to the minimum precision that is able to retain…

Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market. In the High-Frequency Trading (HFT), forecasting for trading purposes is even a more challenging task…

Recurrent neural networks are a powerful tool, but they are very sensitive to their hyper-parameter configuration. Moreover, training properly a recurrent neural network is a tough task, therefore selecting an appropriate configuration is…