scholarly journals A stock trading algorithm based on trend forecasting and time series classification

2021 ◽  
Author(s):  
Matheus Rosisca Padovani ◽  
João Roberto Bertini Junior

Algorithm trading relies on the automatic identification of buying and selling points of a given asset to maximize profit. In this paper, we propose the Trend Classification Trading Algorithm (TCTA) which is based on time series classification and trend forecasting to perform trade. TCTA first employs the K-means to cluster 5-days closing price segments and label them according to its trend. A deep learning classification model is then trained with these label sequences to estimate the next trend. Trading points are given by the alternation on trend estimates. Results considering 20 shares from Ibovespa show TCTA present higher profit than buy-and-hold and trading schemes based on Moving Average Converge Divergence (MACD) or Bollinger bands.

1982 ◽  
Vol 14 (3) ◽  
pp. 156-166 ◽  
Author(s):  
Chin-Sheng Alan Kang ◽  
David D. Bedworth ◽  
Dwayne A. Rollier

Sensors ◽  
2020 ◽  
Vol 20 (7) ◽  
pp. 1908
Author(s):  
Chao Ma ◽  
Xiaochuan Shi ◽  
Wei Li ◽  
Weiping Zhu

In the past decade, time series data have been generated from various fields at a rapid speed, which offers a huge opportunity for mining valuable knowledge. As a typical task of time series mining, Time Series Classification (TSC) has attracted lots of attention from both researchers and domain experts due to its broad applications ranging from human activity recognition to smart city governance. Specifically, there is an increasing requirement for performing classification tasks on diverse types of time series data in a timely manner without costly hand-crafting feature engineering. Therefore, in this paper, we propose a framework named Edge4TSC that allows time series to be processed in the edge environment, so that the classification results can be instantly returned to the end-users. Meanwhile, to get rid of the costly hand-crafting feature engineering process, deep learning techniques are applied for automatic feature extraction, which shows competitive or even superior performance compared to state-of-the-art TSC solutions. However, because time series presents complex patterns, even deep learning models are not capable of achieving satisfactory classification accuracy, which motivated us to explore new time series representation methods to help classifiers further improve the classification accuracy. In the proposed framework Edge4TSC, by building the binary distribution tree, a new time series representation method was designed for addressing the classification accuracy concern in TSC tasks. By conducting comprehensive experiments on six challenging time series datasets in the edge environment, the potential of the proposed framework for its generalization ability and classification accuracy improvement is firmly validated with a number of helpful insights.


2019 ◽  
Vol 149 ◽  
pp. 91-104 ◽  
Author(s):  
Roberto Interdonato ◽  
Dino Ienco ◽  
Raffaele Gaetano ◽  
Kenji Ose

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