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 FTSEMIB index.

Stock price forecasting over adaptive timescale using supervised learning and receptive fields

Mario G. C. A. Cimino;Pierfrancesco Foglia;Cosimo A. Prete;Gigliola Vaglini
2018

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 FTSEMIB index.
978-3-030-05917-0
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11568/933203
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