Market impact analysis via deep learned architectures

Original Article

Abstract

How to deeply process market data sources and build systems to process accurate market impact analysis is an attractive problem. In this paper, we build up a system that exploits deep learning architecture to improve feature representations, and adopt state-of-the-art supervised learning algorithm—extreme learning machine—to predict market impacts. We empirically evaluate the performance of the system by comparing different configurations of representation learning and classification algorithms, and conduct experiments on the intraday tick-by-tick price data and corresponding commercial news archives of stocks in Hong Kong Stock Exchange. From the results, we find that in order to make system achieve good performance, both the representation learning and the classification algorithm play important roles, and comparing with various benchmark configurations of the system, deep learned feature representation together with extreme learning machine can give the highest market impact prediction accuracy.

Keywords

Stock prediction Deep learning Extreme learning machine 

Notes

Acknowledgements

The work described in this paper was partially supported by National Natural Science Foundation of China under the Grant Nos. 61602149 and 61502360, partially supported by the Fundamental Research Funds for the Central Universities under the Grant No. 2016B01714, and partially supported by Priority Academic Program Development of Jiangsu Higher Education Institutions.

Compliance with ethical standards

Conflict of interest

We declare that we have no financial and personal relationships with other people or organizations that can inappropriately influence our work; there is no professional or other personal interest of any nature or kind in any product, service and/or company that could be construed as influencing the position presented in, or the review of, the manuscript entitled, “Market Impact Analysis via Deep Learned Architectures.”

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Copyright information

© The Natural Computing Applications Forum 2018

Authors and Affiliations

  1. 1.College of Computer and InformationHohai UniversityNanjingChina
  2. 2.School of Logistics EngineeringWuhan University of TechnologyWuhanChina
  3. 3.School of Computer and SoftwareNanjing University of Information Science and TechnologyNanjingChina

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