Preprint Article Version 1 Preserved in Portico This version is not peer-reviewed

Convoluted Stock Market: Using Convolution Operation for Stock Market Prediction

Version 1 : Received: 15 April 2021 / Approved: 19 April 2021 / Online: 19 April 2021 (20:56:45 CEST)
Version 2 : Received: 19 April 2021 / Approved: 20 April 2021 / Online: 20 April 2021 (21:12:17 CEST)

How to cite: Alparslan, Y.; Kim, E. Convoluted Stock Market: Using Convolution Operation for Stock Market Prediction. Preprints 2021, 2021040515 (doi: 10.20944/preprints202104.0515.v1). Alparslan, Y.; Kim, E. Convoluted Stock Market: Using Convolution Operation for Stock Market Prediction. Preprints 2021, 2021040515 (doi: 10.20944/preprints202104.0515.v1).

Abstract

Many studies in the current literature annotate patterns in stock prices and use computer vision models to learn and recognize these patterns from stock price-action chart images. Additionally, current literature also use Long Short-Term Memory Networks to predict prices from continuous dollar amount data. In this study, we combine the two techniques. We annotate the consolidation breakouts for a given stock price data, and we use continuous stock price data to predict consolidation breakouts. Unlike computer vision models that look at the image of a stock price action, we explore using the convolution operation on raw dollar values to predict consolidation breakouts under a supervised learning problem setting. Unlike LSTMs that predict stock prices given continuous stock data, we use the continuous stock data to classify a given price window as breakout or not. Finally, we do a regularization study to see the effect of L1, L2, and Elastic Net regularization. We hope that combining regression and classification shed more light on stock market prediction studies.

Supplementary and Associated Material

Subject Areas

LSTM; convolution; regularization; stock market

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