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Deep learning in the stock market—a systematic survey of practice, backtesting, and applications

The widespread usage of machine learning in different mainstream contexts has made deep learning the technique of choice in various domains, including finance. This systematic survey explores various scenarios employing deep learning in financial markets, especially the stock market. A key requireme...

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Detalles Bibliográficos
Autores principales: Olorunnimbe, Kenniy, Viktor, Herna
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Netherlands 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9245389/
https://www.ncbi.nlm.nih.gov/pubmed/35791405
http://dx.doi.org/10.1007/s10462-022-10226-0
Descripción
Sumario:The widespread usage of machine learning in different mainstream contexts has made deep learning the technique of choice in various domains, including finance. This systematic survey explores various scenarios employing deep learning in financial markets, especially the stock market. A key requirement for our methodology is its focus on research papers involving backtesting. That is, we consider whether the experimentation mode is sufficient for market practitioners to consider the work in a real-world use case. Works meeting this requirement are distributed across seven distinct specializations. Most studies focus on trade strategy, price prediction, and portfolio management, with a limited number considering market simulation, stock selection, hedging strategy, and risk management. We also recognize that domain-specific metrics such as “returns” and “volatility” appear most important for accurately representing model performance across specializations. Our study demonstrates that, although there have been some improvements in reproducibility, substantial work remains to be done regarding model explainability. Accordingly, we suggest several future directions, such as improving trust by creating reproducible, explainable, and accountable models and emphasizing prediction of longer-term horizons—potentially via the utilization of supplementary data—which continues to represent a significant unresolved challenge.