Financial time-series data analysis using deep convolutional neural networks

Jou Fan Chen, Wei Lun Chen, Chun Ping Huang, Szu-Hao Huang, An-Pin Chen

Research output: Chapter in Book/Report/Conference proceedingConference contribution

34 Scopus citations

Abstract

A novel financial time-series analysis method based on deep learning technique is proposed in this paper. In recent years, the explosive growth of deep learning researches have led to several successful applications in various artificial intelligence and multimedia fields, such as visual recognition, robot vision, and natural language processing. In this paper, we focus on the time-series data processing and prediction in financial markets. Traditional feature extraction approaches in intelligent trading decision support system are used to applying several technical indicators and expert rules to extract numerical features. The major contribution of this paper is to improve the algorithmic trading framework with the proposed planar feature representation methods and deep convolutional neural networks (CNN). The proposed system is implemented and benchmarked in the historical datasets of Taiwan Stock Index Futures. The experimental results show that the deep learning technique is effective in our trading simulation application, and may have greater potentialities to model the noisy financial data and complex social science problems. In the future, we expected that the proposed methods and deep learning framework could be applied to more innovative applications in the next financial technology (FinTech) generation.

Original languageEnglish
Title of host publicationProceedings - 2016 7th International Conference on Cloud Computing and Big Data, CCBD 2016
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages87-92
Number of pages6
ISBN (Electronic)9781509035557
DOIs
StatePublished - 13 Jul 2017
Event7th International Conference on Cloud Computing and Big Data, CCBD 2016 - Taipa, Macau, China
Duration: 16 Nov 201618 Nov 2016

Publication series

NameProceedings - 2016 7th International Conference on Cloud Computing and Big Data, CCBD 2016

Conference

Conference7th International Conference on Cloud Computing and Big Data, CCBD 2016
CountryChina
CityTaipa, Macau
Period16/11/1618/11/16

Keywords

  • Deep learning
  • convolutional neural networks
  • data visualization
  • machine learning
  • trend prediction

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  • Cite this

    Chen, J. F., Chen, W. L., Huang, C. P., Huang, S-H., & Chen, A-P. (2017). Financial time-series data analysis using deep convolutional neural networks. In Proceedings - 2016 7th International Conference on Cloud Computing and Big Data, CCBD 2016 (pp. 87-92). [7979885] (Proceedings - 2016 7th International Conference on Cloud Computing and Big Data, CCBD 2016). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CCBD.2016.027