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Stock Price Forecasting Over Adaptive Timescale Using Supervised Learning and Receptive Fields

  • Mario G. C. A. CiminoEmail author
  • Federico Dalla Bona
  • Pierfrancesco Foglia
  • Manilo Monaco
  • Cosimo A. Prete
  • Gigliola Vaglini
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 11308)

Abstract

Pattern recognition in financial time series is not a trivial task, due to level of noise, volatile context, lack of formal definitions and high number of pattern variants. A current research trend involves machine learning techniques and online computing. However, medium-term trading is still based on human-centric heuristics, and the integration with machine learning support remains relatively unexplored. The purpose of this study is to investigate potential and perspectives of a novel architectural topology providing modularity, scalability and personalization capabilities. The proposed architecture is based on the concept of Receptive Fields (RF), i.e., sub-modules focusing on specific patterns, that can be connected to further levels of processing to analyze the price dynamics on different granularities and different abstraction levels. Both Multilayer Perceptrons (MLP) and Support Vector Machines (SVM) have been experimented as a RF. Early experiments have been carried out over the FTSE-MIB index.

Keywords

Stock price forecasting Pattern recognition Artificial neural network Support vector machine 

Notes

Acknowledgements

This work was carried out in the framework of the SCIADRO project, co-funded by the Tuscany Region (Italy) under the Regional Implementation Programme for Underutilized Areas Fund (PAR FAS 2007–2013) and the Research Facilitation Fund (FAR) of the Ministry of Education, University and Research (MIUR).

The authors thank Marco Gasperini for his work on the subject during his thesis.

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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  • Mario G. C. A. Cimino
    • 1
    Email author
  • Federico Dalla Bona
    • 2
  • Pierfrancesco Foglia
    • 1
  • Manilo Monaco
    • 1
  • Cosimo A. Prete
    • 1
  • Gigliola Vaglini
    • 1
  1. 1.Department of Information EngineeringUniversity of PisaPisaItaly
  2. 2.Trading MethodsLas Palmas, Gran CanariaSpain

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