You are here

FAU Collections » FAU Research Repository » FAU Theses and Dissertations

FINANCIAL TIME-SERIES ANALYSIS WITH DEEP NEURAL NETWORKS

Download pdf | Full Screen View

Date Issued:
2022
Abstract/Description:
Financial time-series data are noisy, volatile, and nonlinear. The classic statistical linear models may not capture those underlying structures of the data. The rapid advancement in artificial intelligence and machine learning techniques, availability of large-scale data, and increased computational capabilities of a machine opens the door to developing sophisticated deep learning models to capture the nonlinearity and hidden information in the data. Creating a robust model by unlocking the power of a deep neural network and using real-time data is essential in this tech era. This study constructs a new computational framework to uncover the information in the financial time-series data and better inform the related parties. It carries out the comparative analysis of the performance of the deep learning models on stock price prediction with a well-balanced set of factors from fundamental data, macroeconomic data, and technical indicators responsible for stock price movement. We further build a novel computational framework through a merger of recurrent neural networks and random compression for the time-series analysis. The performance of the model is tested on a benchmark anomaly time-series dataset. This new computational framework in a compressed paradigm leads to improved computational efficiency and data privacy. Finally, this study develops a custom trading simulator and an agent-based hybrid model by combining gradient and gradient-free optimization methods. In particular, we explore the use of simulated annealing with stochastic gradient descent. The model trains a population of agents to predict appropriate trading behaviors such as buy, hold, or sell by optimizing the portfolio returns. Experimental results on S&P 500 index show that the proposed model outperforms the baseline models.
Title: FINANCIAL TIME-SERIES ANALYSIS WITH DEEP NEURAL NETWORKS.
363 views
337 downloads
Name(s): Rimal, Binod, author
Hahn, William Edward , Thesis advisor
Florida Atlantic University, Degree grantor
Department of Mathematical Sciences
Charles E. Schmidt College of Science
Type of Resource: text
Genre: Electronic Thesis Or Dissertation
Date Created: 2022
Date Issued: 2022
Publisher: Florida Atlantic University
Place of Publication: Boca Raton, Fla.
Physical Form: application/pdf
Extent: 153 p.
Language(s): English
Abstract/Description: Financial time-series data are noisy, volatile, and nonlinear. The classic statistical linear models may not capture those underlying structures of the data. The rapid advancement in artificial intelligence and machine learning techniques, availability of large-scale data, and increased computational capabilities of a machine opens the door to developing sophisticated deep learning models to capture the nonlinearity and hidden information in the data. Creating a robust model by unlocking the power of a deep neural network and using real-time data is essential in this tech era. This study constructs a new computational framework to uncover the information in the financial time-series data and better inform the related parties. It carries out the comparative analysis of the performance of the deep learning models on stock price prediction with a well-balanced set of factors from fundamental data, macroeconomic data, and technical indicators responsible for stock price movement. We further build a novel computational framework through a merger of recurrent neural networks and random compression for the time-series analysis. The performance of the model is tested on a benchmark anomaly time-series dataset. This new computational framework in a compressed paradigm leads to improved computational efficiency and data privacy. Finally, this study develops a custom trading simulator and an agent-based hybrid model by combining gradient and gradient-free optimization methods. In particular, we explore the use of simulated annealing with stochastic gradient descent. The model trains a population of agents to predict appropriate trading behaviors such as buy, hold, or sell by optimizing the portfolio returns. Experimental results on S&P 500 index show that the proposed model outperforms the baseline models.
Identifier: FA00014009 (IID)
Degree granted: Dissertation (Ph.D.)--Florida Atlantic University, 2022.
Collection: FAU Electronic Theses and Dissertations Collection
Note(s): Includes bibliography.
Subject(s): Neural networks (Computer science)
Deep learning (Machine learning)
Time-series analysis
Stocks
Simulated annealing (Mathematics)
Persistent Link to This Record: http://purl.flvc.org/fau/fd/FA00014009
Use and Reproduction: Copyright © is held by the author with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder.
Use and Reproduction: http://rightsstatements.org/vocab/InC/1.0/
Host Institution: FAU
Is Part of Series: Florida Atlantic University Digital Library Collections.