scholarly journals A Machine Learning View on Momentum and Reversal Trading

Algorithms ◽  
2018 ◽  
Vol 11 (11) ◽  
pp. 170 ◽  
Author(s):  
Zhixi Li ◽  
Vincent Tam
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Stock Market ◽  
Short Term Memory ◽  
Predictive Ability ◽  
Trading Strategies ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Learning Approaches ◽  
Learning Techniques

Momentum and reversal effects are important phenomena in stock markets. In academia, relevant studies have been conducted for years. Researchers have attempted to analyze these phenomena using statistical methods and to give some plausible explanations. However, those explanations are sometimes unconvincing. Furthermore, it is very difficult to transfer the findings of these studies to real-world investment trading strategies due to the lack of predictive ability. This paper represents the first attempt to adopt machine learning techniques for investigating the momentum and reversal effects occurring in any stock market. In the study, various machine learning techniques, including the Decision Tree (DT), Support Vector Machine (SVM), Multilayer Perceptron Neural Network (MLP), and Long Short-Term Memory Neural Network (LSTM) were explored and compared carefully. Several models built on these machine learning approaches were used to predict the momentum or reversal effect on the stock market of mainland China, thus allowing investors to build corresponding trading strategies. The experimental results demonstrated that these machine learning approaches, especially the SVM, are beneficial for capturing the relevant momentum and reversal effects, and possibly building profitable trading strategies. Moreover, we propose the corresponding trading strategies in terms of market states to acquire the best investment returns.

scholarly journals Sentiment Analysis of Lithuanian Texts Using Traditional and Deep Learning Approaches

Computers ◽  
2019 ◽  
Vol 8 (1) ◽  
pp. 4 ◽  
Author(s):  
Jurgita Kapočiūtė-Dzikienė ◽  
Robertas Damaševičius ◽  
Marcin Woźniak
Keyword(s):  
Machine Learning ◽  
Deep Learning ◽  
Sentiment Analysis ◽  
Short Term Memory ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Learning Approaches ◽  
Full Dataset ◽  
Learning Techniques ◽  
Long Short Term Memory

We describe the sentiment analysis experiments that were performed on the Lithuanian Internet comment dataset using traditional machine learning (Naïve Bayes Multinomial—NBM and Support Vector Machine—SVM) and deep learning (Long Short-Term Memory—LSTM and Convolutional Neural Network—CNN) approaches. The traditional machine learning techniques were used with the features based on the lexical, morphological, and character information. The deep learning approaches were applied on the top of two types of word embeddings (Vord2Vec continuous bag-of-words with negative sampling and FastText). Both traditional and deep learning approaches had to solve the positive/negative/neutral sentiment classification task on the balanced and full dataset versions. The best deep learning results (reaching 0.706 of accuracy) were achieved on the full dataset with CNN applied on top of the FastText embeddings, replaced emoticons, and eliminated diacritics. The traditional machine learning approaches demonstrated the best performance (0.735 of accuracy) on the full dataset with the NBM method, replaced emoticons, restored diacritics, and lemma unigrams as features. Although traditional machine learning approaches were superior when compared to the deep learning methods; deep learning demonstrated good results when applied on the small datasets.

scholarly journals Stock Prediction Using Machine Learning

2021 ◽  
Vol 9 ◽  
pp. 152-158
Author(s):  
Shubha Singh ◽  
Sreedevi Gutta ◽  
Ahmad Hadaegh
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Stock Price ◽  
Short Term Memory ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Stock Price Prediction ◽  
Price Prediction ◽  
Learning Techniques ◽  
Artificial Neural Network Ann

The Trend of stock price prediction is becoming more popular than ever. Share market is difficult to predict due to its volatile nature. There are no rules to follow to predict what will happen with the stock in the future. To predict accurately is a huge challenge since the market trend always keep changing depending on many factors. The objective is to apply machine learning techniques to predict stocks and maximize the profit. In this work, we have shown that with the help of artificial intelligence and machine learning, the process of prediction can be improved. While doing the literature review, we realized that the most effective machine learning tool for this research include: Artificial Neural Network (ANN), Support Vector Machine (SVM), and Genetic Algorithms (GA). All categories have common and unique findings and limitations. We collected data for about 10 years and used Long Short-Term Memory (LSTM) Neural Network-based machine learning models to analyze and predict the stock price. The Recurrent Neural Network (RNN) is useful to preserve the time-series features for improving profits. The financial data High and Close are used as input for the model.

Using Machine Learning Algorithms on Prediction of Stock Price

2020 ◽  
Vol 12 (2) ◽  
pp. 84-99
Author(s):  
Li-Pang Chen
Keyword(s):  
Machine Learning ◽  
Stock Price ◽  
Short Term Memory ◽  
Machine Learning Algorithms ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Short Term ◽  
Learning Techniques ◽  
Historical Database ◽  
Long Short Term Memory

In this paper, we investigate analysis and prediction of the time-dependent data. We focus our attention on four different stocks are selected from Yahoo Finance historical database. To build up models and predict the future stock price, we consider three different machine learning techniques including Long Short-Term Memory (LSTM), Convolutional Neural Networks (CNN) and Support Vector Regression (SVR). By treating close price, open price, daily low, daily high, adjusted close price, and volume of trades as predictors in machine learning methods, it can be shown that the prediction accuracy is improved.

scholarly journals Machine Learning Frameworks in Cancer Detection

2021 ◽  
Vol 297 ◽  
pp. 01073
Author(s):  
Sabyasachi Pramanik ◽  
K. Martin Sagayam ◽  
Om Prakash Jena
Keyword(s):  
Machine Learning ◽  
Prediction Models ◽  
Supervised Machine Learning ◽  
Machine Learning Techniques ◽  
Cancer Development ◽  
Support Vector ◽  
Learning Approaches ◽  
Learning Techniques ◽  
Fact Finding ◽  
Risk Of Cancer

Cancer has been described as a diverse illness with several distinct subtypes that may occur simultaneously. As a result, early detection and forecast of cancer types have graced essentially in cancer fact-finding methods since they may help to improve the clinical treatment of cancer survivors. The significance of categorizing cancer suffers into higher or lower-threat categories has prompted numerous fact-finding associates from the bioscience and genomics field to investigate the utilization of machine learning (ML) algorithms in cancer diagnosis and treatment. Because of this, these methods have been used with the goal of simulating the development and treatment of malignant diseases in humans. Furthermore, the capacity of machine learning techniques to identify important characteristics from complicated datasets demonstrates the significance of these technologies. These technologies include Bayesian networks and artificial neural networks, along with a number of other approaches. Decision Trees and Support Vector Machines which have already been extensively used in cancer research for the creation of predictive models, also lead to accurate decision making. The application of machine learning techniques may undoubtedly enhance our knowledge of cancer development; nevertheless, a sufficient degree of validation is required before these approaches can be considered for use in daily clinical practice. An overview of current machine learning approaches utilized in the simulation of cancer development is presented in this paper. All of the supervised machine learning approaches described here, along with a variety of input characteristics and data samples, are used to build the prediction models. In light of the increasing trend towards the use of machine learning methods in biomedical research, we offer the most current papers that have used these approaches to predict risk of cancer or patient outcomes in order to better understand cancer.

scholarly journals Estimating Forest Carbon Fluxes Using Machine Learning Techniques Based on Eddy Covariance Measurements

2018 ◽  
Vol 10 (1) ◽  
pp. 203 ◽  
Author(s):  
Xianming Dou ◽  
Yongguo Yang ◽  
Jinhui Luo
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Eddy Covariance ◽  
Carbon Flux ◽  
Carbon Fluxes ◽  
Forest Carbon ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Inference System ◽  
Learning Techniques

Approximating the complex nonlinear relationships that dominate the exchange of carbon dioxide fluxes between the biosphere and atmosphere is fundamentally important for addressing the issue of climate change. The progress of machine learning techniques has offered a number of useful tools for the scientific community aiming to gain new insights into the temporal and spatial variation of different carbon fluxes in terrestrial ecosystems. In this study, adaptive neuro-fuzzy inference system (ANFIS) and generalized regression neural network (GRNN) models were developed to predict the daily carbon fluxes in three boreal forest ecosystems based on eddy covariance (EC) measurements. Moreover, a comparison was made between the modeled values derived from these models and those of traditional artificial neural network (ANN) and support vector machine (SVM) models. These models were also compared with multiple linear regression (MLR). Several statistical indicators, including coefficient of determination (R2), Nash-Sutcliffe efficiency (NSE), bias error (Bias) and root mean square error (RMSE) were utilized to evaluate the performance of the applied models. The results showed that the developed machine learning models were able to account for the most variance in the carbon fluxes at both daily and hourly time scales in the three stands and they consistently and substantially outperformed the MLR model for both daily and hourly carbon flux estimates. It was demonstrated that the ANFIS and ANN models provided similar estimates in the testing period with an approximate value of R2 = 0.93, NSE = 0.91, Bias = 0.11 g C m−2 day−1 and RMSE = 1.04 g C m−2 day−1 for daily gross primary productivity, 0.94, 0.82, 0.24 g C m−2 day−1 and 0.72 g C m−2 day−1 for daily ecosystem respiration, and 0.79, 0.75, 0.14 g C m−2 day−1 and 0.89 g C m−2 day−1 for daily net ecosystem exchange, and slightly outperformed the GRNN and SVM models. In practical terms, however, the newly developed models (ANFIS and GRNN) are more robust and flexible, and have less parameters needed for selection and optimization in comparison with traditional ANN and SVM models. Consequently, they can be used as valuable tools to estimate forest carbon fluxes and fill the missing carbon flux data during the long-term EC measurements.

scholarly journals Roundness prediction in centreless grinding using physics-enhanced machine learning techniques

2020 ◽  
Author(s):  
Hossein Safarzadeh ◽  
Marco Leonesio ◽  
Giacomo Bianchi ◽  
Michele Monno
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Regression Model ◽  
Hybrid Models ◽  
Physical Models ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Grinding Wheel ◽  
Wheel Wear ◽  
Learning Techniques

AbstractThis work proposes a model for suggesting optimal process configuration in plunge centreless grinding operations. Seven different approaches were implemented and compared: first principles model, neural network model with one hidden layer, support vector regression model with polynomial kernel function, Gaussian process regression model and hybrid versions of those three models. The first approach is based on an enhancement of the well-known numerical process simulation of geometrical instability. The model takes into account raw workpiece profile and possible wheel-workpiece loss of contact, which introduces an inherent limitation on the resulting profile waviness. Physical models, because of epistemic errors due to neglected or oversimplified functional relationships, can be too approximated for being considered in industrial applications. Moreover, in deterministic models, uncertainties affecting the various parameters are not explicitly considered. Complexity in centreless grinding models arises from phenomena like contact length dependency on local compliance, contact force and grinding wheel roughness, unpredicted material properties of the grinding wheel and workpiece, precision of the manual setup done by the operator, wheel wear and nature of wheel wear. In order to improve the overall model prediction accuracy and allow automated continuous learning, several machine learning techniques have been investigated: a Bayesian regularized neural network, an SVR model and a GPR model. To exploit the a priori knowledge embedded in physical models, hybrid models are proposed, where neural network, SVR and GPR models are fed by the nominal process parameters enriched with the roundness predicted by the first principle model. Those hybrid models result in an improved prediction capability.

A Study on Brain Tumor Detection and Segmentation Using Deep Learning Techniques

2020 ◽  
Vol 17 (4) ◽  
pp. 1925-1930
Author(s):  
Ambeshwar Kumar ◽  
R. Manikandan ◽  
Robbi Rahim
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Deep Learning ◽  
Brain Tumor ◽  
Tumor Detection ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Learning Techniques ◽  
Convolution Algorithm ◽  
The Brain

It’s a new era technology in the field of medical engineering giving awareness about the various healthcare features. Deep learning is a part of machine learning, it is capable of handling high dimensional data and is efficient in concentrating on the right features. Tumor is an unbelievably complex disease: a multifaceted cell has more than hundred billion cells; each cell acquires mutation exclusively. Detection of tumor particles in experiment is easily done by MRI or CT. Brain tumors can also be detected by MRI, however, deep learning techniques give a better approach to segment the brain tumor images. Deep Learning models are imprecisely encouraged by information handling and communication designs in biological nervous system. Classification plays an significant role in brain tumor detection. Neural network is creating a well-organized rule for classification. To accomplish medical image data, neural network is trained to use the Convolution algorithm. Multilayer perceptron is intended for identification of a image. In this study article, the brain images are categorized into two types: normal and abnormal. This article emphasize the importance of classification and feature selection approach for predicting the brain tumor. This classification is done by machine learning techniques like Artificial Neural Networks, Support Vector Machine and Deep Neural Network. It could be noted that more than one technique can be applied for the segmentation of tumor. The several samples of brain tumor images are classified using deep learning algorithms, convolution neural network and multi-layer perceptron.

Data-Driven Trend Forecasting in Stock Market Using Machine Learning Techniques

2020 ◽  
Vol 13 (1) ◽  
pp. 130-149
Author(s):  
Puneet Misra ◽  
Siddharth Chaurasia
Keyword(s):  
Machine Learning ◽  
Support Vector Machine ◽  
Stock Market ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Raw Data ◽  
Learning Techniques ◽  
Clear Winner ◽  
Trend Forecasting ◽  
Trend Data

Stock market movements are affected by numerous factors making it one of the most challenging problems for forecasting. This article attempts to predict the direction of movement of stock and stock indices. The study uses three classifiers - Artificial Neural Network, Random Forest and Support Vector Machine with four different representation of inputs. First representation uses raw data (open, high, low, close and volume), The second uses ten features in the form of technical indicators generated by use of technical analysis. The third and fourth portrayal presents two different ways of converting the indicator data into discrete trend data. Experimental results suggest that for raw data support vector machine provides the best results. For other representations, there is no clear winner regarding models applied, but portrayal of data by the proposed approach gave best overall results for all the models and financial series. Consistency of the results highlight the importance of feature generation and right representation of dataset to machine learning techniques.

Brain Signal Classification Based on Deep CNN

2020 ◽  
Vol 12 (2) ◽  
pp. 17-29
Author(s):  
Terry Gao ◽  
Grace Ying Wang
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Mental Status ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Imaging Features ◽  
Learning Approaches ◽  
Computationally Efficient ◽  
Set Up ◽  
Brain Data

It is essential to increase the accuracy and robustness of classification of brain data, including EEG, in order to facilitate a direct communication between the human brain and computerized devices. Different machine learning approaches, such as support vector machine (SVM), neural network, and linear discrimination analysis (LDA), have been applied to set up automatic subjective-classifier, and the findings for their capacities in this regard have been inconclusive. The present study developed an effective classifier for human mental status using deep learning in a convolutional neural network. In contrast to most previous studies commonly using EEG waveform or numeric value of brain signals for classification, the authors utilised imaging features generated from EEG data at alpha frequency band. A new model proposed in this study provides a simple and computationally efficient approach to distinguish mental status during resting. With training, this model could predict new 2D EEG images with above 90% accuracy, while traditional machine learning techniques failed to achieve this accuracy.

Classification of volcanic and tectonic earthquakes in Kamchatka (Russia) with different machine learning techniques

2020 ◽  
Author(s):  
Natalia Galina ◽  
Nikolai Shapiro ◽  
Leonard Seydoux ◽  
Dmitry Droznin
Keyword(s):  
Machine Learning ◽  
Subduction Zone ◽  
Aftershock Sequence ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Learning Approaches ◽  
Shiveluch Volcano ◽  
Agglomerative Clustering ◽  
Learning Techniques ◽  
Single Station

<p>Kamchatka is an active subduction zone that exhibits intense seismic and volcanic activities. As a consequence, tectonic and volcanic earthquakes are often nearly simultaneously recorded at the same station. In this work, we consider seismograms recorded between December 2018 and April 2019. During this time period when the M=7.3 earthquake followed by an aftershock sequence occurred nearly simultaneously with a strong eruption of Shiveluch volcano. As a result, stations of the Kamchatka seismic monitoring network recorded up to several hundreds of earthquakes per day. In total, we detected almost 7000 events of different origin using a simple automatic detection algorithm based on signal envelope amplitudes. Then, for each detection different features have been extracted. We started from simple signal parameters (amplitude, duration, peak frequency, etc.), unsmoothed and smoothed spectra and finally used a multi-dimensional signal decomposition (scattering coefficients). For events classification both unsupervised (K-means, agglomerative clustering) and supervised (Support Vector Classification, Random Forest) classic machine learning techniques were performed on all types of extracted features. Obtained results are quite stable and do not vary significantly depending on features and method choice. As a result, the machine learning approaches allow us to clearly separate tectonic subduction-zone earthquakes and those associated with the Shiveluch volcano eruptions based on data of a single station.</p>

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