An Ensemble of LSTM Neural Networks for High-Frequency Stock Market Classification
27 Pages Posted: 16 Jul 2018 Last revised: 15 Feb 2019
Date Written: June 25, 2018
We propose an ensemble of Long-Short Term Memory (LSTM) Neural Networks for intraday stock predictions, using a large variety of Technical Analysis indicators as network inputs. The proposed ensemble operates in an online way, weighting the individual models proportionally to their recent performance, which allows us to deal with possible non-stationarities in an innovative way. The performance of the models is measured by Area Under the Curve of the Receiver Operating Characteristic. We evaluate the predictive power of our model on several US large-cap stocks and benchmark it against Lasso and Ridge logistic classifiers. The proposed model is found to perform better than the benchmark models or equally weighted ensembles.
Keywords: High-Frequency Trading, Deep Learning, LSTM Neural Networks, Ensemble Models
JEL Classification: C45, C53, C55, G17
Suggested Citation: Suggested Citation