Replicating a Trading Strategy by Means of LSTM for Financial Industry Applications

By Luigi Troiano, Elena Mejuto Villa, Vincenzo Loia. 2018

81 citations recorded by the source corpus.

This paper investigates the possibility of learning a trading rule looking at the relationship between market indicators and decisions undertaken regarding entering or quitting a position. As means to achieve this objective, we employ a long short-term memory machine, due its capability to relate past and recent events. Our solution is a first step in the direction of building a model-free robot, based on deep learning, able to identify the logic that links the market mood given by technical indicators to the undertaken investment decisions. Although preliminary, experimental results show that the proposed solution is viable and promising.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research, Economics & Operations Research, Time-Series & Forecasting

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

  1. Omer Berat Sezer
  2. A. Ozbayoglu
  3. M. Ugur Gudelek

In Finance

  1. M. Ugur Gudelek
  2. A. Ozbayoglu
  3. Omer Berat Sezer
  4. Weiwei Jiang
  5. Longbing Cao

In Management Science and Operations Research

  1. M. Ugur Gudelek
  2. Omer Berat Sezer
  3. A. Ozbayoglu
  4. Weiwei Jiang
  5. Longbing Cao

In Economics & Operations Research

  1. A. Ozbayoglu
  2. M. Ugur Gudelek
  3. Omer Berat Sezer

In Time-Series & Forecasting

  1. M. Ugur Gudelek
  2. Omer Berat Sezer
  3. A. Ozbayoglu
  4. Weiwei Jiang
  5. Longbing Cao

Citations in the corpus