Deep Learning Based on Generative Adversarial and Convolutional Neural Networks for Financial Time Series Predictions
Wilfredo Tovar
备注：
[N] pages. v3 adds an author's errata note at the front (pp. 1-2); the body of the paper is unchanged from v2. Corrects overstated market coverage in the abstract, clarifies the training sample size, and fixes four misattributed references
In the big data era, deep learning and intelligent data mining technique solutions have been applied by researchers in various areas. Forecast and analysis of stock market data have represented an essential role in today's economy, and a significant challenge to the specialist since the market's tendencies are immensely complex, chaotic and are developed within a highly dynamic environment. There are numerous researches from multiple areas intending to take on that challenge, and Machine Learning approaches have been the focus of many of them. There are multiple models of Machine Learning algorithms been able to obtain competent outcomes doing that class of foresight. This paper proposes the implementation of a generative adversarial network (GAN), which is composed by a bi-directional Long short-term memory (LSTM) and convolutional neural network(CNN) referred as Bi-LSTM-CNN to generate synthetic data that agree with existing real financial data so the features of stocks with positive or negative trends can be retained to predict future trends of a stock. The novelty of this proposed solution that distinct from previous solutions is that this paper introduced the concept of a hybrid system (Bi-LSTM-CNN) rather than a sole LSTM model. It was collected data from multiple stock markets such as TSX, SHCOMP and the S&P 500, proposing an adaptative-hybrid system for trends prediction on stock market prices, and carried a comprehensive evaluation on several commonly utilized machine learning prototypes, and it is concluded that the proposed solution approach outperforms preceding models. Additionally, during the research stage from preceding works, gaps were found between investors and researchers who dedicated to the technical domain.
Generative Adversarial Networks (GANs) became very popular for generation of realistically looking images. In this paper, we propose to use GANs to synthesize artificial financial data for research and benchmarking purposes. We test this approach on three American Express datasets, and show that properly trained GANs can replicate these datasets with high fidelity. For our experiments, we define a novel type of GAN, and suggest methods for data preprocessing that allow good training and testing performance of GANs. We also discuss methods for evaluating the quality of generated data, and their…
indico Research（indico研究公司）；Facebook AI Research（脸书人工智能研究院）
In recent years, supervised learning with convolutional networks (CNNs) has seen huge adoption in computer vision applications. Comparatively, unsupervised learning with CNNs has received less attention. In this work we hope to help bridge the gap between the success of CNNs for supervised learning and unsupervised learning. We introduce a class of CNNs called deep convolutional generative adversarial networks (DCGANs), that have certain architectural constraints, and demonstrate that they are a strong candidate for unsupervised learning. Training on various image datasets, we show convincing …
University of California, Irvine（加州大学欧文分校）；California State University, Los Angeles（加州州立大学洛杉矶分校）
Stock price forecasting is a highly complex and vitally important field of research. Recent advancements in deep neural network technology allow researchers to develop highly accurate models to predict financial trends. We propose a novel deep learning model called ST-GAN, or Stochastic Time-series Generative Adversarial Network, that analyzes both financial news texts and financial numerical data to predict stock trends. We utilize cutting-edge technology like the Generative Adversarial Network (GAN) to learn the correlations among textual and numerical data over time. We develop a new method…
Systematic trading strategies are algorithmic procedures that allocate assets aiming to optimize a certain performance criterion. To obtain an edge in a highly competitive environment, the analyst needs to proper fine-tune its strategy, or discover how to combine weak signals in novel alpha creating manners. Both aspects, namely fine-tuning and combination, have been extensively researched using several methods, but emerging techniques such as Generative Adversarial Networks can have an impact into such aspects. Therefore, our work proposes the use of Conditional Generative Adversarial Network…
Columbia University（哥伦比亚大学）；Zurich University of Applied Sciences（苏黎世应用科学大学）
Financial time series simulation is a central topic since it extends the limited real data for training and evaluation of trading strategies. It is also challenging because of the complex statistical properties of the real financial data. We introduce two generative adversarial networks (GANs), which utilize the convolutional networks with attention and the transformers, for financial time series simulation. The GANs learn the statistical properties in a data-driven manner and the attention mechanism helps to replicate the long-range dependencies. The proposed GANs are tested on the S&P 500 in…
Traditional vision-based hand gesture recognition systems is limited under dark circumstances. In this paper, we build a hand gesture recognition system based on microwave transceiver and deep learning algorithm. A Doppler radar sensor with dual receiving channels at 5.8GHz is used to acquire a big database of hand gestures signals. The received hand gesture signals are then processed with time-frequency analysis. Based on these big databases of hand gesture, we propose a new machine learning architecture called deformable deep convolutional generative adversarial network. Experimental results…
Pohang University of Science and Technology (POSTECH)（浦项科技大学）
Data-driven design approaches based on deep-learning have been introduced in nanophotonics to reduce time-consuming iterative simulations which have been a major challenge. Here, we report the first use of conditional deep convolutional generative adversarial networks to design nanophotonic antennae that are not constrained to a predefined shape. For given input reflection spectra, the network generates desirable designs in the form of images; this form allows suggestions of new structures that cannot be represented by structural parameters. Simulation results obtained from the generated desig…
Virginia Polytechnic Institute and State University (Virginia Tech)（弗吉尼亚理工学院暨州立大学（弗吉尼亚理工））
Deep learning models have demonstrated high-quality performance in areas such as image classification and speech processing. However, creating a deep learning model using electronic health record (EHR) data, requires addressing particular privacy challenges that are unique to researchers in this domain. This matter focuses attention on generating realistic synthetic data while ensuring privacy. In this paper, we propose a novel framework called correlation-capturing Generative Adversarial Network (CorGAN), to generate synthetic healthcare records. In CorGAN we utilize Convolutional Neural Netw…
MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks
Department of Mathematics, Sungkyunkwan University, Republic of Korea（淑阳大学数学系）；Department of Financial Engineering, Ajou University, Republic of Korea（东亚大学金融工程系）；Department of FinTech, SKK Business School, Sungkyunkwan University, Republic of Korea（淑阳大学SKK商学院金融科技系）
One of the big restrictions in brain computer interface field is the very limited training samples, it is difficult to build a reliable and usable system with such limited data. Inspired by generative adversarial networks, we propose a conditional Deep Convolutional Generative Adversarial (cDCGAN) Networks method to generate more artificial EEG signal automatically for data augmentation to improve the performance of convolutional neural networks in brain computer interface field and overcome the small training dataset problems. We evaluate the proposed cDCGAN method on BCI competition dataset …
Identifying novel functional protein structures is at the heart of molecular engineering and molecular biology, requiring an often computationally exhaustive search. We introduce the use of a Deep Convolutional Generative Adversarial Network (DCGAN) to classify protein structures based on their functionality by encoding each sample in a grid object structure using three features in each object: the generic atom type, the position atom type, and its occupancy relative to a given atom. We train DCGAN on 3-dimensional (3D) decoy and native protein structures in order to generate and discriminate …
University of California, Merced（加州大学默塞德分校）；Beijing University of Chemical Technology（北京化工大学）
Failure detection is employed in the industry to improve system performance and reduce costs due to unexpected malfunction events. So, a good dataset of the system is desirable for designing an automated failure detection system. However, industrial process datasets are unbalanced and contain little information about failure behavior due to the uniqueness of these events and the high cost for running the system just to get information about the undesired behaviors. For this reason, performing correct training and validation of automated failure detection methods is challenging. This paper prop…
The University of Texas at Austin（德克萨斯大学奥斯汀分校）；Konkuk University（建国大学）
Generating wind power scenarios is very important for studying the impacts of multiple wind farms that are interconnected to the grid. We develop a graph convolutional generative adversarial network (GCGAN) approach by leveraging GAN's capability in generating large number of realistic scenarios without using statistical modeling. Unlike existing GAN-based wind power data generation approaches, we design GAN's hidden layers to match the underlying spatial and temporal characteristics. We advocate the use of graph filters to embed the spatial correlation among multiple wind farms, and a one-dim…
General Electric Healthcare（通用电气医疗集团）；University of Rouen（鲁昂大学）；Henri Becquerel Center（亨利·贝克勒尔中心）
One of the most challenges in medical imaging is the lack of data. It is proven that classical data augmentation methods are useful but still limited due to the huge variation in images. Using generative adversarial networks (GAN) is a promising way to address this problem, however, it is challenging to train one model to generate different classes of lesions. In this paper, we propose a deep convolutional conditional generative adversarial network to generate MIP positron emission tomography image (PET) which is a 2D image that represents a 3D volume for fast interpretation, according to diff…
Columbia University（哥伦比亚大学）；University of Connecticut（康涅狄格大学）；NEC Laboratories America, Inc.（NEC美国实验室）
Detecting abnormal activities in real-world surveillance videos is an important yet challenging task as the prior knowledge about video anomalies is usually limited or unavailable. Despite that many approaches have been developed to resolve this problem, few of them can capture the normal spatio-temporal patterns effectively and efficiently. Moreover, existing works seldom explicitly consider the local consistency at frame level and global coherence of temporal dynamics in video sequences. To this end, we propose Convolutional Transformer based Dual Discriminator Generative Adversarial Network…
Lack of explainability in artificial intelligence, specifically deep neural networks, remains a bottleneck for implementing models in practice. Popular techniques such as Gradient-weighted Class Activation Mapping (Grad-CAM) provide a coarse map of salient features in an image, which rarely tells the whole story of what a convolutional neural network (CNN) learned. Using COVID-19 chest X-rays, we present a method for interpreting what a CNN has learned by utilizing Generative Adversarial Networks (GANs). Our GAN framework disentangles lung structure from COVID-19 features. Using this GAN, we c…
Amundi Asset Management（东方汇理资产管理公司）；Ecole des Ponts ParisTech（巴黎高科路桥学校）
This article explores the use of machine learning models to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial markets. In particular, these synthetic data must preserve the probability distribution of asset returns, the stochastic dependence between the different assets and the autocorrelation across time. The article proposes then a new approach for estimating the probability distribution of backtest statistics. The final objective is to develop a framewo…
We present Generative Adversarial Capsule Network (CapsuleGAN), a framework that uses capsule networks (CapsNets) instead of the standard convolutional neural networks (CNNs) as discriminators within the generative adversarial network (GAN) setting, while modeling image data. We provide guidelines for designing CapsNet discriminators and the updated GAN objective function, which incorporates the CapsNet margin loss, for training CapsuleGAN models. We show that CapsuleGAN outperforms convolutional-GAN at modeling image data distribution on MNIST and CIFAR-10 datasets, evaluated on the generativ…
Harrisburg University of Science and Technology（哈里斯堡科技大学）
Medical image datasets are usually imbalanced, due to the high costs of obtaining the data and time-consuming annotations. Training deep neural network models on such datasets to accurately classify the medical condition does not yield desired results and often over-fits the data on majority class samples. In order to address this issue, data augmentation is often performed on training data by position augmentation techniques such as scaling, cropping, flipping, padding, rotation, translation, affine transformation, and color augmentation techniques such as brightness, contrast, saturation, an…
Instituto de Telecomunicações（电信研究所）；Universidade da Beira Interior（贝拉内陆大学）；DeepNeuronic；NOVA LINCS（新里斯本大学计算机科学实验室）；C4-Cloud Computing Competence Center（C4云计算能力中心）
Synthesising the spatial and temporal dynamics of the human body skeleton remains a challenging task, not only in terms of the quality of the generated shapes, but also of their diversity, particularly to synthesise realistic body movements of a specific action (action conditioning). In this paper, we propose Kinetic-GAN, a novel architecture that leverages the benefits of Generative Adversarial Networks and Graph Convolutional Networks to synthesise the kinetics of the human body. The proposed adversarial architecture can condition up to 120 different actions over local and global body moveme…
University of Notre Dame（圣母大学）；Lawrence Livermore National Laboratories（劳伦斯利弗莫尔国家实验室）
Imputation of missing data is a task that plays a vital role in a number of engineering and science applications. Often such missing data arise in experimental observations from limitations of sensors or post-processing transformation errors. Other times they arise from numerical and algorithmic constraints in computer simulations. One such instance and the application emphasis of this paper are numerical simulations of storm surge. The simulation data corresponds to time-series surge predictions over a number of save points within the geographic domain of interest, creating a spatio-temporal …
Objective : Abdominal anatomy segmentation is crucial for numerous applications from computer-assisted diagnosis to image-guided surgery. In this context, we address fully-automated multi-organ segmentation from abdominal CT and MR images using deep learning. Methods: The proposed model extends standard conditional generative adversarial networks. Additionally to the discriminator which enforces the model to create realistic organ delineations, it embeds cascaded partially pre-trained convolutional encoder-decoders as generator. Encoder fine-tuning from a large amount of non-medical images all…
Chungbuk National University Hospital（忠北国立大学医院）；Korea University（高丽大学）；Hannam University（韩南大学）
This paper presents a novel convolutional layer, called perturbed convolution (PConv), which focuses on achieving two goals simultaneously: improving the generative adversarial network (GAN) performance and alleviating the memorization problem in which the discriminator memorizes all images from a given dataset as training progresses. In PConv, perturbed features are generated by randomly disturbing an input tensor before performing the convolution operation. This approach is simple but surprisingly effective. First, to produce a similar output even with the perturbed tensor, each layer in the…
Harvey Mudd College（哈维穆德学院）；University of Southern California（南加州大学）；Institute for Creative Technologies（创意技术研究所）
Automatically assessing emotional valence in human speech has historically been a difficult task for machine learning algorithms. The subtle changes in the voice of the speaker that are indicative of positive or negative emotional states are often "overshadowed" by voice characteristics relating to emotional intensity or emotional activation. In this work we explore a representation learning approach that automatically derives discriminative representations of emotional speech. In particular, we investigate two machine learning strategies to improve classifier performance: (1) utilization of u…
Sapienza University of Rome（罗马大学）；J.P. Morgan AI Research（摩根大通AI研究院）
Simulated environments are increasingly used by trading firms and investment banks to evaluate trading strategies before approaching real markets. Backtesting, a widely used approach, consists of simulating experimental strategies while replaying historical market scenarios. Unfortunately, this approach does not capture the market response to the experimental agents' actions. In contrast, multi-agent simulation presents a natural bottom-up approach to emulating agent interaction in financial markets. It allows to set up pools of traders with diverse strategies to mimic the financial market tra…
Generative models have recently received renewed attention as a result of adversarial learning. Generative adversarial networks consist of samples generation model and a discrimination model able to distinguish between genuine and synthetic samples. In combination with convolutional (for the discriminator) and de-convolutional (for the generator) layers, they are particularly suitable for image generation, especially of natural scenes. However, the presence of fully connected layers adds global dependencies in the generated images. This may lead to high and global variations in the generated s…
University of Central Florida（中佛罗里达大学）；Iowa State University（爱荷华州立大学）
Structural Health Monitoring (SHM) has been continuously benefiting from the advancements in the field of data science. Various types of Artificial Intelligence (AI) methods have been utilized for the assessment and evaluation of civil structures. In AI, Machine Learning (ML) and Deep Learning (DL) algorithms require plenty of datasets to train; particularly, the more data DL models are trained with, the better output it yields. Yet, in SHM applications, collecting data from civil structures through sensors is expensive and obtaining useful data (damage associated data) is challenging. In this…
As the success of Generative Adversarial Networks (GANs) on natural images quickly propels them into various real-life applications across different domains, it becomes more and more important to clearly understand their limitations. Specifically, understanding GANs' capability across the full spectrum of spatial frequencies, i.e. beyond the low-frequency dominant spectrum of natural images, is critical for assessing the reliability of GAN generated data in any detail-sensitive application (e.g. denoising, filling and super-resolution in medical and satellite images). In this paper, we show th…
Queen Mary University of London（伦敦玛丽女王大学）；HCMC University of Technology（胡志明市工业大学）；University of Oxford（牛津大学）；Singapore Institute of Technology（新加坡理工学院）
Existing generative adversarial networks (GANs) for speech enhancement solely rely on the convolution operation, which may obscure temporal dependencies across the sequence input. To remedy this issue, we propose a self-attention layer adapted from non-local attention, coupled with the convolutional and deconvolutional layers of a speech enhancement GAN (SEGAN) using raw signal input. Further, we empirically study the effect of placing the self-attention layer at the (de)convolutional layers with varying layer indices as well as at all of them when memory allows. Our experiments show that intr…
Fortifying Fully Convolutional Generative Adversarial Networks for Image Super-Resolution Using Divergence Measures
Electronics and Communication Sciences Unit (ECSU), Dolby Laboratories, India（电子与通信科学单元（ECSU），多利贝实验室，印度）；Statistics and Mathematics Unit (SMU), Indian Statistical Institute, Kolkata, India（统计与数学单元（SMU），印度统计研究所，加尔各答，印度）
Research Center for IT innovation, Academia Sinica（中央研究院资讯科技创新研究中心）
It has been shown recently that deep convolutional generative adversarial networks (GANs) can learn to generate music in the form of piano-rolls, which represent music by binary-valued time-pitch matrices. However, existing models can only generate real-valued piano-rolls and require further post-processing, such as hard thresholding (HT) or Bernoulli sampling (BS), to obtain the final binary-valued results. In this paper, we study whether we can have a convolutional GAN model that directly creates binary-valued piano-rolls by using binary neurons. Specifically, we propose to append to the gen…
Efficient option pricing with unary-based photonic computing chip and generative adversarial learning
Institute of Quantum Technologies (IQT), The Hong Kong Polytechnic University（香港理工大学量子技术研究所）；Quantum Science and Engineering Centre (QSec), Nanyang Technological University（南洋理工大学量子科学与工程中心）；Departament de Fisica Quantica i Astrofisica and Institut de Ciencies del Cosmos (ICCUB), Universitat de Barcelona（巴塞罗那大学量子物理与天体物理系及宇宙科学研究所）；Quantum Research Centre, Technology Innovation Institute（技术创新研究所量子研究中心）；Centre for Quantum Technologies, National University of Singapore（新加坡国立大学量子技术中心）；Institute of Microelectronics, A*STAR (Agency for Science, Technology and Research)（新加坡科技研究局微电子研究所）；Advanced Micro Foundry（先进微电子晶圆厂）
Generative Adversarial Network (GAN) is a well known computationally complex algorithm requiring signficiant computational resources in software implementations including large amount of data to be trained. This makes its implementation in edge devices with conventional microprocessor hardware a slow and difficult task. In this paper, we propose to accelerate the computationally intensive GAN using memristive neural networks in analog domain. We present a fully analog hardware design of Deep Convolutional GAN (DCGAN) based on CMOS-memristive convolutional and deconvolutional networks simulated…
Unsupervised domain adaptation (UDA) has shown remarkable results in bearing fault diagnosis under changing working conditions in recent years. However, most UDA methods do not consider the geometric structure of the data. Furthermore, the global domain adaptation technique is commonly applied, which ignores the relation between subdomains. This paper addresses mentioned challenges by presenting the novel deep subdomain adaptation graph convolution neural network (DSAGCN), which has two key characteristics: First, graph convolution neural network (GCNN) is employed to model the structure of da…
China University of Mining and Technology（中国矿业大学）；Xuzhou Medical University（徐州医科大学）
Traditional intelligent fault diagnosis of rolling bearings work well only under a common assumption that the labeled training data (source domain) and unlabeled testing data (target domain) are drawn from the same distribution. However, in many real-world applications, this assumption does not hold, especially when the working condition varies. In this paper, a new adversarial adaptive 1-D CNN called A2CNN is proposed to address this problem. A2CNN consists of four parts, namely, a source feature extractor, a target feature extractor, a label classifier and a domain discriminator. The layers …
