15639

Classiffication-based Financial Markets Prediction using Deep Neural Networks

Matthew Dixon, Diego Klabjan, Jin Hoon Bang
Stuart School of Business, Illinois Institute of Technology, 10 West 35th Street, Chicago
arXiv:1603.08604 [cs.LG], (29 Mar 2016)

@article{dixon2016classifficationbased,

   title={Classiffication-based Financial Markets Prediction using Deep Neural Networks},

   author={Dixon, Matthew and Klabjan, Diego and Bang, Jin Hoon},

   year={2016},

   month={mar},

   archivePrefix={"arXiv"},

   primaryClass={cs.LG}

}

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Deep neural networks (DNNs) are powerful types of artificial neural networks (ANNs) that use several hidden layers. They have recently gained considerable attention in the speech transcription and image recognition community (Krizhevsky et al., 2012) for their superior predictive properties including robustness to overfitting. However their application to algorithmic trading has not been previously researched, partly because of their computational complexity. This paper describes the application of DNNs to predicting financial market movement directions. In particular we describe the configuration and training approach and then demonstrate their application to backtesting a simple trading strategy over 43 different Commodity and FX future mid-prices at 5-minute intervals. All results in this paper are generated using a C++ implementation on the Intel Xeon Phi co-processor which is 11.4x faster than the serial version and a Python strategy backtesting environment both of which are available as open source code written by the authors.
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