GRU

Deep reinforcement learning for optimal trading with partial information ArXiv ID: 2511.00190 “View on arXiv” Authors: Andrea Macrì, Sebastian Jaimungal, Fabrizio Lillo Abstract Reinforcement Learning (RL) applied to financial problems has been the subject of a lively area of research. The use of RL for optimal trading strategies that exploit latent information in the market is, to the best of our knowledge, not widely tackled. In this paper we study an optimal trading problem, where a trading signal follows an Ornstein-Uhlenbeck process with regime-switching dynamics. We employ a blend of RL and Recurrent Neural Networks (RNN) in order to make the most at extracting underlying information from the trading signal with latent parameters. The latent parameters driving mean reversion, speed, and volatility are filtered from observations of the signal, and trading strategies are derived via RL. To address this problem, we propose three Deep Deterministic Policy Gradient (DDPG)-based algorithms that integrate Gated Recurrent Unit (GRU) networks to capture temporal dependencies in the signal. The first, a one -step approach (hid-DDPG), directly encodes hidden states from the GRU into the RL trader. The second and third are two-step methods: one (prob-DDPG) makes use of posterior regime probability estimates, while the other (reg-DDPG) relies on forecasts of the next signal value. Through extensive simulations with increasingly complex Markovian regime dynamics for the trading signal’s parameters, as well as an empirical application to equity pair trading, we find that prob-DDPG achieves superior cumulative rewards and exhibits more interpretable strategies. By contrast, reg-DDPG provides limited benefits, while hid-DDPG offers intermediate performance with less interpretable strategies. Our results show that the quality and structure of the information supplied to the agent are crucial: embedding probabilistic insights into latent regimes substantially improves both profitability and robustness of reinforcement learning-based trading strategies. ...

GRU-PFG: Extract Inter-Stock Correlation from Stock Factors with Graph Neural Network ArXiv ID: 2411.18997 “View on arXiv” Authors: Unknown Abstract The complexity of stocks and industries presents challenges for stock prediction. Currently, stock prediction models can be divided into two categories. One category, represented by GRU and ALSTM, relies solely on stock factors for prediction, with limited effectiveness. The other category, represented by HIST and TRA, incorporates not only stock factors but also industry information, industry financial reports, public sentiment, and other inputs for prediction. The second category of models can capture correlations between stocks by introducing additional information, but the extra data is difficult to standardize and generalize. Considering the current state and limitations of these two types of models, this paper proposes the GRU-PFG (Project Factors into Graph) model. This model only takes stock factors as input and extracts inter-stock correlations using graph neural networks. It achieves prediction results that not only outperform the others models relies solely on stock factors, but also achieve comparable performance to the second category models. The experimental results show that on the CSI300 dataset, the IC of GRU-PFG is 0.134, outperforming HIST’s 0.131 and significantly surpassing GRU and Transformer, achieving results better than the second category models. Moreover as a model that relies solely on stock factors, it has greater potential for generalization. ...

Comparative Analysis of LSTM, GRU, and Transformer Models for Stock Price Prediction ArXiv ID: 2411.05790 “View on arXiv” Authors: Unknown Abstract In recent fast-paced financial markets, investors constantly seek ways to gain an edge and make informed decisions. Although achieving perfect accuracy in stock price predictions remains elusive, artificial intelligence (AI) advancements have significantly enhanced our ability to analyze historical data and identify potential trends. This paper takes AI driven stock price trend prediction as the core research, makes a model training data set of famous Tesla cars from 2015 to 2024, and compares LSTM, GRU, and Transformer Models. The analysis is more consistent with the model of stock trend prediction, and the experimental results show that the accuracy of the LSTM model is 94%. These methods ultimately allow investors to make more informed decisions and gain a clearer insight into market behaviors. ...

Stock Price Prediction and Traditional Models: An Approach to Achieve Short-, Medium- and Long-Term Goals ArXiv ID: 2410.07220 “View on arXiv” Authors: Unknown Abstract A comparative analysis of deep learning models and traditional statistical methods for stock price prediction uses data from the Nigerian stock exchange. Historical data, including daily prices and trading volumes, are employed to implement models such as Long Short Term Memory (LSTM) networks, Gated Recurrent Units (GRUs), Autoregressive Integrated Moving Average (ARIMA), and Autoregressive Moving Average (ARMA). These models are assessed over three-time horizons: short-term (1 year), medium-term (2.5 years), and long-term (5 years), with performance measured by Mean Squared Error (MSE) and Mean Absolute Error (MAE). The stability of the time series is tested using the Augmented Dickey-Fuller (ADF) test. Results reveal that deep learning models, particularly LSTM, outperform traditional methods by capturing complex, nonlinear patterns in the data, resulting in more accurate predictions. However, these models require greater computational resources and offer less interpretability than traditional approaches. The findings highlight the potential of deep learning for improving financial forecasting and investment strategies. Future research could incorporate external factors such as social media sentiment and economic indicators, refine model architectures, and explore real-time applications to enhance prediction accuracy and scalability. ...

Optimizing Time Series Forecasting: A Comparative Study of Adam and Nesterov Accelerated Gradient on LSTM and GRU networks Using Stock Market data ArXiv ID: 2410.01843 “View on arXiv” Authors: Unknown Abstract Several studies have discussed the impact different optimization techniques in the context of time series forecasting across different Neural network architectures. This paper examines the effectiveness of Adam and Nesterov’s Accelerated Gradient (NAG) optimization techniques on LSTM and GRU neural networks for time series prediction, specifically stock market time-series. Our study was done by training LSTM and GRU models with two different optimization techniques - Adam and Nesterov Accelerated Gradient (NAG), comparing and evaluating their performance on Apple Inc’s closing price data over the last decade. The GRU model optimized with Adam produced the lowest RMSE, outperforming the other model-optimizer combinations in both accuracy and convergence speed. The GRU models with both optimizers outperformed the LSTM models, whilst the Adam optimizer outperformed the NAG optimizer for both model architectures. The results suggest that GRU models optimized with Adam are well-suited for practitioners in time-series prediction, more specifically stock price time series prediction producing accurate and computationally efficient models. The code for the experiments in this project can be found at https://github.com/AhmadMak/Time-Series-Optimization-Research Keywords: Time-series Forecasting, Neural Network, LSTM, GRU, Adam Optimizer, Nesterov Accelerated Gradient (NAG) Optimizer ...

Gated recurrent neural network with TPE Bayesian optimization for enhancing stock index prediction accuracy ArXiv ID: 2406.02604 “View on arXiv” Authors: Unknown Abstract The recent advancement of deep learning architectures, neural networks, and the combination of abundant financial data and powerful computers are transforming finance, leading us to develop an advanced method for predicting future stock prices. However, the accessibility of investment and trading at everyone’s fingertips made the stock markets increasingly intricate and prone to volatility. The increased complexity and volatility of the stock market have driven demand for more models, which would effectively capture high volatility and non-linear behavior of the different stock prices. This study explored gated recurrent neural network (GRNN) algorithms such as LSTM (long short-term memory), GRU (gated recurrent unit), and hybrid models like GRU-LSTM, LSTM-GRU, with Tree-structured Parzen Estimator (TPE) Bayesian optimization for hyperparameter optimization (TPE-GRNN). The aim is to improve the prediction accuracy of the next day’s closing price of the NIFTY 50 index, a prominent Indian stock market index, using TPE-GRNN. A combination of eight influential factors is carefully chosen from fundamental stock data, technical indicators, crude oil price, and macroeconomic data to train the models for capturing the changes in the price of the index with the factors of the broader economy. Single-layer and multi-layer TPE-GRNN models have been developed. The models’ performance is evaluated using standard matrices like R2, MAPE, and RMSE. The analysis of models’ performance reveals the impact of feature selection and hyperparameter optimization (HPO) in enhancing stock index price prediction accuracy. The results show that the MAPE of our proposed TPE-LSTM method is the lowest (best) with respect to all the previous models for stock index price prediction. ...

Comparative Study of Bitcoin Price Prediction ArXiv ID: 2405.08089 “View on arXiv” Authors: Unknown Abstract Prediction of stock prices has been a crucial and challenging task, especially in the case of highly volatile digital currencies such as Bitcoin. This research examineS the potential of using neural network models, namely LSTMs and GRUs, to forecast Bitcoin’s price movements. We employ five-fold cross-validation to enhance generalization and utilize L2 regularization to reduce overfitting and noise. Our study demonstrates that the GRUs models offer better accuracy than LSTMs model for predicting Bitcoin’s price. Specifically, the GRU model has an MSE of 4.67, while the LSTM model has an MSE of 6.25 when compared to the actual prices in the test set data. This finding indicates that GRU models are better equipped to process sequential data with long-term dependencies, a characteristic of financial time series data such as Bitcoin prices. In summary, our results provide valuable insights into the potential of neural network models for accurate Bitcoin price prediction and emphasize the importance of employing appropriate regularization techniques to enhance model performance. ...