CNN-LSTM Neural Network Model for Quantitative Strategy Analysis in Stock Markets
In this paper, the convolutional neural network and long short-term memory (CNN-LSTM) neural network model is proposed to analyse the quantitative strategy in stock markets. Methodically, the CNN-LSTM neural network is used to make the quantitative stock selection strategy for judging stock trends b...
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| Published in | Neural Information Processing Vol. 10635; pp. 198 - 206 |
|---|---|
| Main Authors | , , |
| Format | Book Chapter |
| Language | English |
| Published |
Switzerland
Springer International Publishing AG
2017
Springer International Publishing |
| Series | Lecture Notes in Computer Science |
| Subjects | |
| Online Access | Get full text |
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| Abstract | In this paper, the convolutional neural network and long short-term memory (CNN-LSTM) neural network model is proposed to analyse the quantitative strategy in stock markets. Methodically, the CNN-LSTM neural network is used to make the quantitative stock selection strategy for judging stock trends by using the CNN, and then make the quantitative timing strategy for improving the profits by using the LSTM. It is demonstrated by the experiments that the CNN-LSTM neural network model can be successfully applied to making quantitative strategy, and achieving better returns than the basic Momentum strategy and the Benchmark index. |
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| AbstractList | In this paper, the convolutional neural network and long short-term memory (CNN-LSTM) neural network model is proposed to analyse the quantitative strategy in stock markets. Methodically, the CNN-LSTM neural network is used to make the quantitative stock selection strategy for judging stock trends by using the CNN, and then make the quantitative timing strategy for improving the profits by using the LSTM. It is demonstrated by the experiments that the CNN-LSTM neural network model can be successfully applied to making quantitative strategy, and achieving better returns than the basic Momentum strategy and the Benchmark index. |
| Author | Liu, Shuanglong Zhang, Chao Ma, Jinwen |
| Author_xml | – sequence: 1 givenname: Shuanglong surname: Liu fullname: Liu, Shuanglong organization: Department of Information Science, School of Mathematical Sciences and LMAM, Peking University, Beijing, China – sequence: 2 givenname: Chao surname: Zhang fullname: Zhang, Chao organization: Academy for Advanced Interdisciplinary Studies, Peking University, Beijing, China – sequence: 3 givenname: Jinwen surname: Ma fullname: Ma, Jinwen email: jwma@math.pku.edu.cn organization: Department of Information Science, School of Mathematical Sciences and LMAM, Peking University, Beijing, China |
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| Copyright | Springer International Publishing AG 2017 |
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| DOI | 10.1007/978-3-319-70096-0_21 |
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| Discipline | Computer Science |
| EISBN | 3319700960 9783319700960 |
| EISSN | 1611-3349 |
| Editor | Li, Yuanqing El-Alfy, El-Sayed M Xie, Shengli Liu, Derong Zhao, Dongbin |
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| Notes | S. Liu and C. Zhang—The two authors contributed equally to this paper. |
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| StartPage | 198 |
| SubjectTerms | CNN LSTM Neural network Quantitative strategy Stock markets |
| Title | CNN-LSTM Neural Network Model for Quantitative Strategy Analysis in Stock Markets |
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