Related papers: Algorithmic Trading Strategy Development and Optim…
To reject the Efficient Market Hypothesis a set of 5 technical indicators and 23 fundamental indicators was identified to establish the possibility of generating excess returns on the stock market. Leveraging these data points and various…
We propose a novel method to improve estimation of asset returns for portfolio optimization. This approach first performs a monthly directional market forecast using an online decision tree. The decision tree is trained on a novel set of…
Technical analysis is used to discover investment opportunities. To test this hypothesis we propose an hybrid system using machine learning techniques together with genetic algorithms. Using technical analysis there are more ways to…
The stock market prediction has always been crucial for stakeholders, traders and investors. We developed an ensemble Long Short Term Memory (LSTM) model that includes two-time frequencies (annual and daily parameters) in order to predict…
This study explores the use of Recurrent Neural Networks (RNN) for real-time cryptocurrency price prediction and optimized trading strategies. Given the high volatility of the cryptocurrency market, traditional forecasting models often fall…
Many cryptocurrency brokers nowadays offer a variety of derivative assets that allow traders to perform hedging or speculation. This paper proposes an effective algorithm based on neural networks to take advantage of these investment…
We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with different memory lengths using the strategies' past performance. Based on the chosen trading strategy…
Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns of price time series. According standard economical theories these strategies should not be used…
We explore the competitive effects of reaction time of automated trading strategies in simulated financial markets containing a single exchange with public limit order book and continuous double auction matching. A large body of research…
Macroeconomic variables are known to significantly impact equity markets, but their predictive power for price fluctuations has been underexplored due to challenges such as infrequency and variability in timing of announcements, changing…
Stock recommendation is vital to investment companies and investors. However, no single stock selection strategy will always win while analysts may not have enough time to check all S&P 500 stocks (the Standard & Poor's 500). In this paper,…
In recent years, machine learning has become prevalent in numerous tasks, including algorithmic trading. Stock market traders utilize machine learning models to predict the market's behavior and execute an investment strategy accordingly.…
We summarized both common and novel predictive models used for stock price prediction and combined them with technical indices, fundamental characteristics and text-based sentiment data to predict S&P stock prices. A 66.18% accuracy in S&P…
Traditional stock market prediction methods commonly only utilize the historical trading data, ignoring the fact that stock market fluctuations can be impacted by various other information sources such as stock related events. Although some…
We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two stage process that first determines admissible model…
In this paper we propose a mathematical framework to address the uncertainty emergingwhen the designer of a trading algorithm uses a threshold on a signal as a control. We rely ona theorem by Benveniste and Priouret to deduce our Inventory…
We investigated the use of Empirical Mode Decomposition (EMD) combined with Gaussian Mixture Models (GMM), feature engineering and machine learning algorithms to optimize trading decisions. We used five, two, and one year samples of hourly…
The marvel of markets lies in the fact that dispersed information is instantaneously processed and used to adjust the price of goods, services and assets. Financial markets are particularly efficient when it comes to processing information;…
Traditional stock market prediction approaches commonly utilize the historical price-related data of the stocks to forecast their future trends. As the Web information grows, recently some works try to explore financial news to improve the…
We adopt deep learning models to directly optimise the portfolio Sharpe ratio. The framework we present circumvents the requirements for forecasting expected returns and allows us to directly optimise portfolio weights by updating model…