Convolutional Neural Networks (CNN)

Integrative Analysis of Financial Market Sentiment Using CNN and GRU for Risk Prediction and Alert Systems ArXiv ID: 2412.10199 “View on arXiv” Authors: Unknown Abstract This document presents an in-depth examination of stock market sentiment through the integration of Convolutional Neural Networks (CNN) and Gated Recurrent Units (GRU), enabling precise risk alerts. The robust feature extraction capability of CNN is utilized to preprocess and analyze extensive network text data, identifying local features and patterns. The extracted feature sequences are then input into the GRU model to understand the progression of emotional states over time and their potential impact on future market sentiment and risk. This approach addresses the order dependence and long-term dependencies inherent in time series data, resulting in a detailed analysis of stock market sentiment and effective early warnings of future risks. ...

Advanced Financial Fraud Detection Using GNN-CL Model ArXiv ID: 2407.06529 “View on arXiv” Authors: Unknown Abstract The innovative GNN-CL model proposed in this paper marks a breakthrough in the field of financial fraud detection by synergistically combining the advantages of graph neural networks (gnn), convolutional neural networks (cnn) and long short-term memory (LSTM) networks. This convergence enables multifaceted analysis of complex transaction patterns, improving detection accuracy and resilience against complex fraudulent activities. A key novelty of this paper is the use of multilayer perceptrons (MLPS) to estimate node similarity, effectively filtering out neighborhood noise that can lead to false positives. This intelligent purification mechanism ensures that only the most relevant information is considered, thereby improving the model’s understanding of the network structure. Feature weakening often plagues graph-based models due to the dilution of key signals. In order to further address the challenge of feature weakening, GNN-CL adopts reinforcement learning strategies. By dynamically adjusting the weights assigned to central nodes, it reinforces the importance of these influential entities to retain important clues of fraud even in less informative data. Experimental evaluations on Yelp datasets show that the results highlight the superior performance of GNN-CL compared to existing methods. ...

GraphCNNpred: A stock market indices prediction using a Graph based deep learning system ArXiv ID: 2407.03760 “View on arXiv” Authors: Unknown Abstract The application of deep learning techniques for predicting stock market prices is a prominent and widely researched topic in the field of data science. To effectively predict market trends, it is essential to utilize a diversified dataset. In this paper, we give a graph neural network based convolutional neural network (CNN) model, that can be applied on diverse source of data, in the attempt to extract features to predict the trends of indices of \text{“S”}&\text{“P”} 500, NASDAQ, DJI, NYSE, and RUSSEL. The experiments show that the associated models improve the performance of prediction in all indices over the baseline algorithms by about $4% \text{" to “} 15%$, in terms of F-measure. A trading simulation is generated from predictions and gained a Sharpe ratio of over 3. ...

Review of deep learning models for crypto price prediction: implementation and evaluation ArXiv ID: 2405.11431 “View on arXiv” Authors: Unknown Abstract There has been much interest in accurate cryptocurrency price forecast models by investors and researchers. Deep Learning models are prominent machine learning techniques that have transformed various fields and have shown potential for finance and economics. Although various deep learning models have been explored for cryptocurrency price forecasting, it is not clear which models are suitable due to high market volatility. In this study, we review the literature about deep learning for cryptocurrency price forecasting and evaluate novel deep learning models for cryptocurrency stock price prediction. Our deep learning models include variants of long short-term memory (LSTM) recurrent neural networks, variants of convolutional neural networks (CNNs), and the Transformer model. We evaluate univariate and multivariate approaches for multi-step ahead predicting of cryptocurrencies close-price. We also carry out volatility analysis on the four cryptocurrencies which reveals significant fluctuations in their prices throughout the COVID-19 pandemic. Additionally, we investigate the prediction accuracy of two scenarios identified by different training sets for the models. First, we use the pre-COVID-19 datasets to model cryptocurrency close-price forecasting during the early period of COVID-19. Secondly, we utilise data from the COVID-19 period to predict prices for 2023 to 2024. Our results show that the convolutional LSTM with a multivariate approach provides the best prediction accuracy in two major experimental settings. Our results also indicate that the multivariate deep learning models exhibit better performance in forecasting four different cryptocurrencies when compared to the univariate models. ...

Long Short-Term Memory Pattern Recognition in Currency Trading ArXiv ID: 2403.18839 “View on arXiv” Authors: Unknown Abstract This study delves into the analysis of financial markets through the lens of Wyckoff Phases, a framework devised by Richard D. Wyckoff in the early 20th century. Focusing on the accumulation pattern within the Wyckoff framework, the research explores the phases of trading range and secondary test, elucidating their significance in understanding market dynamics and identifying potential trading opportunities. By dissecting the intricacies of these phases, the study sheds light on the creation of liquidity through market structure, offering insights into how traders can leverage this knowledge to anticipate price movements and make informed decisions. The effective detection and analysis of Wyckoff patterns necessitate robust computational models capable of processing complex market data, with spatial data best analyzed using Convolutional Neural Networks (CNNs) and temporal data through Long Short-Term Memory (LSTM) models. The creation of training data involves the generation of swing points, representing significant market movements, and filler points, introducing noise and enhancing model generalization. Activation functions, such as the sigmoid function, play a crucial role in determining the output behavior of neural network models. The results of the study demonstrate the remarkable efficacy of deep learning models in detecting Wyckoff patterns within financial data, underscoring their potential for enhancing pattern recognition and analysis in financial markets. In conclusion, the study highlights the transformative potential of AI-driven approaches in financial analysis and trading strategies, with the integration of AI technologies shaping the future of trading and investment practices. ...

CNN-DRL with Shuffled Features in Finance ArXiv ID: 2402.03338 “View on arXiv” Authors: Unknown Abstract In prior methods, it was observed that the application of Convolutional Neural Networks agent in Deep Reinforcement Learning to financial data resulted in an enhanced reward. In this study, a specific permutation was applied to the feature vector, thereby generating a CNN matrix that strategically positions more pertinent features in close proximity. Our comprehensive experimental evaluations unequivocally demonstrate a substantial enhancement in reward attainment. ...

Advancing Algorithmic Trading: A Multi-Technique Enhancement of Deep Q-Network Models ArXiv ID: 2311.05743 “View on arXiv” Authors: Unknown Abstract This study enhances a Deep Q-Network (DQN) trading model by incorporating advanced techniques like Prioritized Experience Replay, Regularized Q-Learning, Noisy Networks, Dueling, and Double DQN. Extensive tests on assets like BTC/USD and AAPL demonstrate superior performance compared to the original model, with marked increases in returns and Sharpe Ratio, indicating improved risk-adjusted rewards. Notably, convolutional neural network (CNN) architectures, both 1D and 2D, significantly boost returns, suggesting their effectiveness in market trend analysis. Across instruments, these enhancements have yielded stable and high gains, eclipsing the baseline and highlighting the potential of CNNs in trading systems. The study suggests that applying sophisticated deep learning within reinforcement learning can greatly enhance automated trading, urging further exploration into advanced methods for broader financial applicability. The findings advocate for the continued evolution of AI in finance. ...

Gray-box Adversarial Attack of Deep Reinforcement Learning-based Trading Agents ArXiv ID: 2309.14615 “View on arXiv” Authors: Unknown Abstract In recent years, deep reinforcement learning (Deep RL) has been successfully implemented as a smart agent in many systems such as complex games, self-driving cars, and chat-bots. One of the interesting use cases of Deep RL is its application as an automated stock trading agent. In general, any automated trading agent is prone to manipulations by adversaries in the trading environment. Thus studying their robustness is vital for their success in practice. However, typical mechanism to study RL robustness, which is based on white-box gradient-based adversarial sample generation techniques (like FGSM), is obsolete for this use case, since the models are protected behind secure international exchange APIs, such as NASDAQ. In this research, we demonstrate that a “gray-box” approach for attacking a Deep RL-based trading agent is possible by trading in the same stock market, with no extra access to the trading agent. In our proposed approach, an adversary agent uses a hybrid Deep Neural Network as its policy consisting of Convolutional layers and fully-connected layers. On average, over three simulated trading market configurations, the adversary policy proposed in this research is able to reduce the reward values by 214.17%, which results in reducing the potential profits of the baseline by 139.4%, ensemble method by 93.7%, and an automated trading software developed by our industrial partner by 85.5%, while consuming significantly less budget than the victims (427.77%, 187.16%, and 66.97%, respectively). ...