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Full-Text Articles in Physical Sciences and Mathematics
Machine Learning For Stock Prediction Based On Fundamental Analysis, Yuxuan Huang, Luiz Fernando Capretz, Danny Ho
Machine Learning For Stock Prediction Based On Fundamental Analysis, Yuxuan Huang, Luiz Fernando Capretz, Danny Ho
Electrical and Computer Engineering Publications
Application of machine learning for stock prediction is attracting a lot of attention in recent years. A large amount of research has been conducted in this area and multiple existing results have shown that machine learning methods could be successfully used toward stock predicting using stocks’ historical data. Most of these existing approaches have focused on short term prediction using stocks’ historical price and technical indicators. In this paper, we prepared 22 years’ worth of stock quarterly financial data and investigated three machine learning algorithms: Feed-forward Neural Network (FNN), Random Forest (RF) and Adaptive Neural Fuzzy Inference System (ANFIS) for …
Less Is More: Beating The Market With Recurrent Reinforcement Learning, Louis Kurt Bernhard Steinmeister
Less Is More: Beating The Market With Recurrent Reinforcement Learning, Louis Kurt Bernhard Steinmeister
Masters Theses
"Multiple recurrent reinforcement learners were implemented to make trading decisions based on real and freely available macro-economic data. The learning algorithm and different reinforcement functions (the Differential Sharpe Ratio, Differential Downside Deviation Ratio and Returns) were revised and the performances were compared while transaction costs were taken into account. (This is important for practical implementations even though many publications ignore this consideration.) It was assumed that the traders make long-short decisions in the S&P500 with complementary 3-month treasury bill investments. Leveraged positions in the S&P500 were disallowed. Notably, the Differential Sharpe Ratio and the Differential Downside Deviation Ratio are risk …