Naslov (eng)

A comparative study of the neural network models for the stock market data classification—A multicriteria optimization approach

Autor

Radojičić, Dragana
Radojičić, Nina
Rheinländer, Thorsten

Opis (eng)

Abstract: The aim of this paper is to explore the potential of the class of recurrent neural networks in developing a classification model for the stock market. For this research, the data that replicates the entire Nasdaq stock market limit order book is used. After extracting order book attributes from the raw dataset, feature selection approaches based on conditional entropy and Stochastic Universal Sampling are proposed, in order to highlight potentially informative features for our data classification task. Furthermore, the performances of nine presented recurrent neural network models for classifying the stock market data vector into one of the labels from the set S = {buy, sell, idle} are examined. In this study, the performances of the models based on different networks, namely the gated recurrent unit, the long short-term memory, and the recurrent neural network, are compared. Using a multi-criteria approach it is concluded that the model based on the GRU topology fed with the features selected using the newly proposed feature selection method outperforms other examined model

Jezik

engleski

Datum

2024

Licenca

© All rights reserved

Predmet

Keywords: Recurrent neural network, Gated Recurrent Unit, Stock market model, Limit order book

Deo kolekcije (1)

o:28218

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