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Using a Deep Learning Model to Simulate Human Stock Trader's Methods of Chart Analysis
Despite the efficient market hypothesis, many studies suggest the existence of inefficiencies in the stock market leading to the development of techniques to gain above-market returns. Systematic trading has undergone significant advances in recent decades with deep learning schemes emerging as a powerful tool for analyzing and predicting market behavior. In this paper, a method is proposed that is inspired by how professional technical analysts trade. This scheme looks at stock prices of the previous 600 days and predicts whether the stock price will rise or fall 10% or 20% within the next D days. Plus, the proposed method uses the Resnet's (a deep learning model) skip connections and logits to increase the probability of the prediction. The model was trained and tested using historical data from both the Korean and US stock markets. We show that using the period label of 5 gives the best result. On Korea market it achieved a profit more than 39% above the market return, and a profit more than 40% above the market return on the US market.
Embedding Push and Pull Search in the Framework of Differential Evolution for Solving Constrained Single-objective Optimization Problems
Fan, Zhun, Li, Wenji, Wang, Zhaojun, Yuan, Yutong, Sun, Fuzan, Yang, Zhi, Ruan, Jie, Li, Zhaocheng, Goodman, Erik
This paper proposes a push and pull search method in the framework of differential evolution (PPS-DE) to solve constrained single-objective optimization problems (CSOPs). More specifically, two sub-populations, including the top and bottom sub-populations, are collaborated with each other to search global optimal solutions efficiently. The top sub-population adopts the pull and pull search (PPS) mechanism to deal with constraints, while the bottom sub-population use the superiority of feasible solutions (SF) technique to deal with constraints. In the top sub-population, the search process is divided into two different stages --- push and pull stages.An adaptive DE variant with three trial vector generation strategies is employed in the proposed PPS-DE. In the top sub-population, all the three trial vector generation strategies are used to generate offsprings, just like in CoDE. In the bottom sub-population, a strategy adaptation, in which the trial vector generation strategies are periodically self-adapted by learning from their experiences in generating promising solutions in the top sub-population, is used to choose a suitable trial vector generation strategy to generate one offspring. Furthermore, a parameter adaptation strategy from LSHADE44 is employed in both sup-populations to generate scale factor $F$ and crossover rate $CR$ for each trial vector generation strategy. Twenty-eight CSOPs with 10-, 30-, and 50-dimensional decision variables provided in the CEC2018 competition on real parameter single objective optimization are optimized by the proposed PPS-DE. The experimental results demonstrate that the proposed PPS-DE has the best performance compared with the other seven state-of-the-art algorithms, including AGA-PPS, LSHADE44, LSHADE44+IDE, UDE, IUDE, $\epsilon$MAg-ES and C$^2$oDE.