Amazing technological breakthrough possible @S-Logix

Office Address

  • #5, First Floor, 4th Street Dr. Subbarayan Nagar Kodambakkam, Chennai-600 024 Landmark : Samiyar Madam
  • +91- 81240 01111

Social List

A multi-layer and multi-ensemble stock trader using deep learning and deep reinforcement learning - 2021

Research Area:  Machine Learning


The adoption of computer-aided stock trading methods is gaining popularity in recent years, mainly because of their ability to process efficiently past information through machine learning to predict future market behavior. Several approaches have been proposed to this task, with the most effective ones using fusion of a pile of classifiers decisions to predict future stock values. However, using prices information in single supervised classifiers has proven to lead to poor results, mainly because market history is not enough to be an indicative of future market behavior. In this paper, we propose to tackle this issue by proposing a multi-layer and multi-ensemble stock trader. Our method starts by pre-processing data with hundreds of deep neural networks. Then, a reward-based classifier acts as a meta-learner to maximize profit and generate stock signals through different iterations. Finally, several metalearner trading decisions are fused in order to get a more robust trading strategy, using several trading agents to take a final decision. We validate the effectiveness of the approach in a real-world trading scenario, by extensively testing it on the Standard & Poors 500 future market and the J.P. Morgan and Microsoft stocks. Experimental results show that the proposed method clearly outperforms all the considered baselines (which still performs very well in the analysed period), and even the conventional Buy-and-Hold strategy, which replicates the market behaviour.

Author(s) Name:   Salvatore Carta, Andrea Corriga, Anselmo Ferreira, Alessandro Sebastian Podda & Diego Reforgiato Recupero

Journal name:  Applied Intelligence

Conferrence name:  

Publisher name:  Springer

DOI:  10.1007/s10489-020-01839-5

Volume Information:  volume 51, pages 889–905 (2021)