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Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019

arXiv.org Machine Learning

Financial time series forecasting is, without a doubt, the top choice of computational intelligence for finance researchers from both academia and financial industry due to its broad implementation areas and substantial impact. Machine Learning (ML) researchers came up with various models and a vast number of studies have been published accordingly. As such, a significant amount of surveys exist covering ML for financial time series forecasting studies. Lately, Deep Learning (DL) models started appearing within the field, with results that significantly outperform traditional ML counterparts. Even though there is a growing interest in developing models for financial time series forecasting research, there is a lack of review papers that were solely focused on DL for finance. Hence, our motivation in this paper is to provide a comprehensive literature review on DL studies for financial time series forecasting implementations. We not only categorized the studies according to their intended forecasting implementation areas, such as index, forex, commodity forecasting, but also grouped them based on their DL model choices, such as Convolutional Neural Networks (CNNs), Deep Belief Networks (DBNs), Long-Short Term Memory (LSTM). We also tried to envision the future for the field by highlighting the possible setbacks and opportunities, so the interested researchers can benefit.


Deep Reinforcement Learning

arXiv.org Machine Learning

We discuss deep reinforcement learning in an overview style. We draw a big picture, filled with details. We discuss six core elements, six important mechanisms, and twelve applications, focusing on contemporary work, and in historical contexts. We start with background of artificial intelligence, machine learning, deep learning, and reinforcement learning (RL), with resources. Next we discuss RL core elements, including value function, policy, reward, model, exploration vs. exploitation, and representation. Then we discuss important mechanisms for RL, including attention and memory, unsupervised learning, hierarchical RL, multi-agent RL, relational RL, and learning to learn. After that, we discuss RL applications, including games, robotics, natural language processing (NLP), computer vision, finance, business management, healthcare, education, energy, transportation, computer systems, and, science, engineering, and art. Finally we summarize briefly, discuss challenges and opportunities, and close with an epilogue.


Deep Modeling Complex Couplings within Financial Markets

AAAI Conferences

The global financial crisis occurred in 2008 and its contagion to other regions, as well as the long-lasting impact on different markets, show that it is increasingly important to understand the complicated coupling relationships across financial markets. This is indeed very difficult as complex hidden coupling relationships exist between different financial markets in various countries, which are very hard to model. The couplings involve interactions between homogeneous markets from various countries (we call intra-market coupling), interactions between heterogeneous markets (inter-market coupling) and interactions between current and past market behaviors (temporal coupling). Very limited work has been done towards modeling such complex couplings, whereas some existing methods predict market movement by simply aggregating indicators from various markets but ignoring the inbuilt couplings. As a result, these methods are highly sensitive to observations, and may often fail when financial indicators change slightly. In this paper, a coupled deep belief network is designed to accommodate the above three types of couplings across financial markets. With a deep-architecture model to capture the high-level coupled features, the proposed approach can infer market trends. Experimental results on data of stock and currency markets from three countries show that our approach outperforms other baselines, from both technical and business perspectives.


Artificial Intelligence for Social Good: A Survey

arXiv.org Artificial Intelligence

Its impact is drastic and real: Youtube's AIdriven recommendation system would present sports videos for days if one happens to watch a live baseball game on the platform [1]; email writing becomes much faster with machine learning (ML) based auto-completion [2]; many businesses have adopted natural language processing based chatbots as part of their customer services [3]. AI has also greatly advanced human capabilities in complex decision-making processes ranging from determining how to allocate security resources to protect airports [4] to games such as poker [5] and Go [6]. All such tangible and stunning progress suggests that an "AI summer" is happening. As some put it, "AI is the new electricity" [7]. Meanwhile, in the past decade, an emerging theme in the AI research community is the so-called "AI for social good" (AI4SG): researchers aim at developing AI methods and tools to address problems at the societal level and improve the wellbeing of the society.