Two robust long short-term memory frameworks for trading stocks.
Appl Intell (Dordr)
; 51(10): 7177-7195, 2021.
Article
em En
| MEDLINE
| ID: mdl-34764588
ABSTRACT
This paper aims to find a superior strategy for the daily trading on a portfolio of stocks for which traditional trading strategies perform poorly due to the low frequency of new information. The experimental work is divided into a set of traditional trading strategies and a set of long short-term memory networks. The networks incorporate general and specific trading patterns, where the former takes into account the universal decision factors for trading across many stocks, while the latter takes into account stock-specific decision factors. Our research shows that both long short-term memory networks, regardless of whether they are based on universal or stock-specific decision factors, significantly outperform traditional trading strategies. Interestingly, however, on average neither has the edge compared to the other, thus remaining ambivalent as to whether universality or specificality is to be preferred when it comes to designing long short-term memory networks for optimal trading.
Texto completo:
1
Coleções:
01-internacional
Base de dados:
MEDLINE
Tipo de estudo:
Prognostic_studies
Idioma:
En
Revista:
Appl Intell (Dordr)
Ano de publicação:
2021
Tipo de documento:
Article
País de afiliação:
Eslovênia