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- W3048383900 abstract "The application of deep learning to time series forecasting is one of the major challenges in present machine learning. We propose a novel methodology that combines machine learning and image processing methods to define and predict market states with intraday financial data. A wavelet transform is applied to the log-return of stock prices for both image extraction and denoising. A convolutional neural network then extracts patterns from denoised wavelet images to classify daily time series, i.e. a market state is associated with the binary prediction of the daily close price movement based on the wavelet image constructed from the price changes in the first hours of the day. This method overcomes the low signal-to-noise ratio problem in financial time series and gets a competitive prediction accuracy of the market states 'Up' and 'Down' of financial data as tested on the S&P 500." @default.
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- W3048383900 date "2020-08-13" @default.
- W3048383900 modified "2023-10-17" @default.
- W3048383900 title "Image Processing Tools for Financial Time Series Classification" @default.
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