Abstract

https://ssrn.com/abstract=2627258
 


 



Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi


Matthew Francis Dixon


Illinois Institute of Technology - Stuart School of Business, IIT

Diego Klabjan


Northwestern University

Jin Hoon Bang


Northwestern University

July 6, 2015


Abstract:     
Deep neural networks (DNNs) are powerful types of artificial neural networks (ANNs) that use several hidden layers. They have recently gained considerable attention in the speech transcription and image recognition community (Krizhevsky et al., 2012) for their superior predictive properties including robustness to overfitting. However their application to financial market prediction has not been previously researched, partly because of their computational complexity. This paper describes the application of DNNs to predicting financial market movement directions. A critical step in the viability of the approach in practice is the ability to effectively deploy the algorithm on general purpose high performance computing infrastructure. Using an Intel Xeon Phi co-processor with 61 cores, we describe the process for efficient implementation of the batched stochastic gradient descent algorithm and demonstrate a 11.4x speedup on the Intel Xeon Phi over a serial implementation on the Intel Xeon.

Number of Pages in PDF File: 6

Keywords: machine learning, financial markets, many-core computing


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Date posted: July 7, 2015 ; Last revised: September 13, 2015

Suggested Citation

Dixon, Matthew Francis and Klabjan, Diego and Bang, Jin Hoon, Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi (July 6, 2015). Available at SSRN: https://ssrn.com/abstract=2627258 or http://dx.doi.org/10.2139/ssrn.2627258

Contact Information

Matthew Francis Dixon (Contact Author)
Illinois Institute of Technology - Stuart School of Business, IIT ( email )
10 West 35th Street, 18th Floor
Chicago, IL 60616
United States
Diego Klabjan
Northwestern University ( email )
2001 Sheridan Road
Evanston, IL 60208
United States
Jin Hoon Bang
Northwestern University ( email )
2001 Sheridan Road
Evanston, IL 60208
United States
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