scholarly journals Portfolio Optimization-Based Stock Prediction Using Long-Short Term Memory Network in Quantitative Trading

2020 ◽  
Vol 10 (2) ◽  
pp. 437 ◽  
Author(s):  
Van-Dai Ta ◽  
CHUAN-MING Liu ◽  
Direselign Addis Tadesse
Keyword(s):  
Prediction Model ◽  
Portfolio Optimization ◽  
Short Term Memory ◽  
Historical Data ◽  
Optimization Techniques ◽  
Support Vector ◽  
Stock Prediction ◽  
Short Term ◽  
Term Memory ◽  
Long Short Term Memory

In quantitative trading, stock prediction plays an important role in developing an effective trading strategy to achieve a substantial return. Prediction outcomes also are the prerequisites for active portfolio construction and optimization. However, the stock prediction is a challenging task because of the diversified factors involved such as uncertainty and instability. Most of the previous research focuses on analyzing financial historical data based on statistical techniques, which is known as a type of time series analysis with limited achievements. Recently, deep learning techniques, specifically recurrent neural network (RNN), has been designed to work with sequence prediction. In this paper, a long short-term memory (LSTM) network, which is a special kind of RNN, is proposed to predict stock movement based on historical data. In order to construct an efficient portfolio, multiple portfolio optimization techniques, including equal-weighted modeling (EQ), simulation modeling Monte Carlo simulation (MCS), and optimization modeling mean variant optimization (MVO), are used to improve the portfolio performance. The results showed that our proposed LSTM prediction model works efficiently by obtaining high accuracy from stock prediction. The constructed portfolios based on the LSTM prediction model outperformed other constructed portfolios-based prediction models such as linear regression and support vector machine. In addition, optimization techniques showed a significant improvement in the return and Sharpe ratio of the constructed portfolios. Furthermore, our constructed portfolios beat the benchmark Standard and Poor 500 (S&P 500) index in both active returns and Sharpe ratios.

scholarly journals Stock Prediction using Long Short-Term Memory, Support Vector Regression and Linear Regression Algorithms

2021 ◽  
Vol 9 (VII) ◽  
pp. 3632-3638
Author(s):  
Mr. V. Manoj Kumar
Keyword(s):  
Linear Regression ◽  
Support Vector Regression ◽  
Short Term Memory ◽  
Support Vector ◽  
Stock Prediction ◽  
Short Term ◽  
Data Set ◽  
Term Memory ◽  
Long Short Term Memory ◽  
Memory Support

Prediction is most important for stock market not only for traders but also for computer engineers who analyses stock data. We can perform this prediction by two ways one is using historical stock data and other by analyzing by information gathered from social media. It is based on model/pattern used to predict stock dataset, there are so many models are available for predicting stocks, simply model is algorithm that’s from machine learning and deep learning. In the data set the two main parameters open and close value are used for stock prediction mostly but we can also predict by its volume too. So that data is preprocessed before it is used for prediction. In this paper we used various algorithm like linear regression, support vector regression and long short-term memory for better accuracy and to compare how it different from other algorithm and for predicting future stock.

A semiautomatic annotation approach for sentiment analysis

2021 ◽  
pp. 016555152110065
Author(s):  
Rahma Alahmary ◽  
Hmood Al-Dossari
Keyword(s):  
Deep Learning ◽  
Sentiment Analysis ◽  
Short Term Memory ◽  
Machine Learning Algorithms ◽  
Support Vector ◽  
Short Term ◽  
Term Memory ◽  
Annotation Process ◽  
Learning Classifiers ◽  
Long Short Term Memory

Sentiment analysis (SA) aims to extract users’ opinions automatically from their posts and comments. Almost all prior works have used machine learning algorithms. Recently, SA research has shown promising performance in using the deep learning approach. However, deep learning is greedy and requires large datasets to learn, so it takes more time for data annotation. In this research, we proposed a semiautomatic approach using Naïve Bayes (NB) to annotate a new dataset in order to reduce the human effort and time spent on the annotation process. We created a dataset for the purpose of training and testing the classifier by collecting Saudi dialect tweets. The dataset produced from the semiautomatic model was then used to train and test deep learning classifiers to perform Saudi dialect SA. The accuracy achieved by the NB classifier was 83%. The trained semiautomatic model was used to annotate the new dataset before it was fed into the deep learning classifiers. The three deep learning classifiers tested in this research were convolutional neural network (CNN), long short-term memory (LSTM) and bidirectional long short-term memory (Bi-LSTM). Support vector machine (SVM) was used as the baseline for comparison. Overall, the performance of the deep learning classifiers exceeded that of SVM. The results showed that CNN reported the highest performance. On one hand, the performance of Bi-LSTM was higher than that of LSTM and SVM, and, on the other hand, the performance of LSTM was higher than that of SVM. The proposed semiautomatic annotation approach is usable and promising to increase speed and save time and effort in the annotation process.

Categorizing Natural Language-Based Customer Satisfaction: An Implementation Method Using Support Vector Machine and Long Short-Term Memory Neural Network

2021 ◽  
Vol 13 (4) ◽  
Author(s):  
Ralph Sherwin A. Corpuz ◽  
Keyword(s):  
Neural Network ◽  
Support Vector Machine ◽  
Natural Language ◽  
Text Categorization ◽  
Short Term Memory ◽  
Support Vector ◽  
Feature Engineering ◽  
Short Term ◽  
Term Memory ◽  
Long Short Term Memory

Analyzing natural language-based Customer Satisfaction (CS) is a tedious process. This issue is practically true if one is to manually categorize large datasets. Fortunately, the advent of supervised machine learning techniques has paved the way toward the design of efficient categorization systems used for CS. This paper presents the feasibility of designing a text categorization model using two popular and robust algorithms – the Support Vector Machine (SVM) and Long Short-Term Memory (LSTM) Neural Network, in order to automatically categorize complaints, suggestions, feedbacks, and commendations. The study found that, in terms of training accuracy, SVM has best rating of 98.63% while LSTM has best rating of 99.32%. Such results mean that both SVM and LSTM algorithms are at par with each other in terms of training accuracy, but SVM is significantly faster than LSTM by approximately 35.47s. The training performance results of both algorithms are attributed on the limitations of the dataset size, high-dimensionality of both English and Tagalog languages, and applicability of the feature engineering techniques used. Interestingly, based on the results of actual implementation, both algorithms are found to be 100% effective in accurately predicting the correct CS categories. Hence, the extent of preference between the two algorithms boils down on the available dataset and the skill in optimizing these algorithms through feature engineering techniques and in implementing them toward actual text categorization applications.

scholarly journals An Improved Long Short-Term Memory Model for Dam Displacement Prediction

2019 ◽  
Vol 2019 ◽  
pp. 1-14 ◽  
Author(s):  
Jun Zhang ◽  
Xiyao Cao ◽  
Jiemin Xie ◽  
Pangao Kou
Keyword(s):  
Short Term Memory ◽  
Water Pressure ◽  
Extreme Temperature ◽  
Regression Tree ◽  
Support Vector ◽  
Temperature Structure ◽  
Short Term ◽  
Boosted Regression Tree ◽  
Term Memory ◽  
Long Short Term Memory

Displacement plays a vital role in dam safety monitoring data, which adequately responds to security risks such as the flood water pressure, extreme temperature, structure deterioration, and bottom bedrock damage. To make accurate predictions, former researchers established various models. However, these models’ input variables cannot efficiently reflect the delays between the external environment and displacement. Therefore, a long short-term memory (LSTM) model is proposed to make full use of the historical data to reflect the delays. Furthermore, the LSTM model is improved to optimize the performance by making variables more physically reasonable. Finally, a real-world radial displacement dataset is used to compare the performance of LSTM models, multiple linear regression (MLR), multilayer perceptron (MLP) neural networks, support vector machine (SVM), and boosted regression tree (BRT). The results indicate that (1) the LSTM models can efficiently reflect the delays and make the variables selection more convenient and (2) the improved LSTM model achieves the best performance by optimizing the input form and network structure based on a clearer physical meaning.

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