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	DEEP STOCK REPRESENTATION LEARNING: FROM CANDLESTICK CHARTS TO INVESTMENT DECISIONS
	Hu, Guosheng4; Hu, Yuxin1; Yang, Kai2; Yu, Zehao3; Sung, Flood; Zhang, Zhihong3; Xie, Fei1; Liu, Jianguo1; Robertson, Neil4; Hospedales, Timothy5
	2018
页码	2706-2710
英文摘要	We propose a novel investment decision strategy (IDS) based on deep learning. The performance of many IDSs is affected by stock similarity. Most existing stock similarity measurements have the problems: (a) The linear nature of many measurements cannot capture nonlinear stock dynamics; (b) The estimation of many similarity metrics (e.g. covariance) needs very long period historic data (e.g. 3K days) which cannot represent current market effectively; (c) They cannot capture translation-invariance. To solve these problems, we apply Convolutional AutoEncoder to learn a stock representation, based on which we propose a novel portfolio construction strategy by: (i) using the deeply learned representation and modularity optimisation to cluster stocks and identify diverse sectors, (ii) picking stocks within each cluster according to their Sharpe ratio (Sharpe 1994). Overall this strategy provides low-risk high-return portfolios. We use the Financial Times Stock Exchange 100 Index (FTSE 100) data for evaluation. Results show our portfolio outperforms FTSE 100 index and many well known funds in terms of total return in 2000 trading days.
会议录出版者	IEEE
会议录出版地	345 E 47TH ST, NEW YORK, NY 10017 USA
语种	英语
WOS研究方向	Acoustics ; Engineering
WOS记录号	WOS:000446384602174
内容类型	会议论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/3341]
专题	上海财经大学
作者单位	1.Shanghai Univ Finance & Econ, Shanghai, Peoples R China; 2.Univ Shanghai Sci & Technol, Shanghai, Peoples R China; 3.Xiamen Univ, Xiamen, Peoples R China; 4.Queens Univ Belfast, Belfast, Antrim, North Ireland; 5.Univ Edinburgh, Edinburgh, Midlothian, Scotland; 6.Yangs Accounting Consultancy Ltd, Yangmei, Taiwan; 7.ArrayStream Technol Ltd, London, England
推荐引用方式 GB/T 7714	Hu, Guosheng,Hu, Yuxin,Yang, Kai,et al. DEEP STOCK REPRESENTATION LEARNING: FROM CANDLESTICK CHARTS TO INVESTMENT DECISIONS[C]. 见:.

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