Category archives: Machine Learning

My TFSA Update August 2017 - Does Combining CNNs and GRUs Yield Better Stock Price Predictions?

Last update on Sept. 18, 2017.

Image Credit: MeskPhotography/Shutterstock.com

 

In this series, I (Jin Choi) talk about my goal of reaching $1 million in my TFSA account by 2033. If you want to know what a TFSA is, I recommend you read my free book. In this post, I’ll detail what came of my efforts to combine two machine learning architectures - Convolutional Neural Networks (CNN), and Gated Recurrent Unit (GRU) - in order to make better stock price predictions.

 

August Results: Down 5.5%

At the end of August, I had $45,907 in my TFSA account, which was down by 5 ...

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Can Stock Price History Be Used To Predict Future Prices? Part 2: LSTMs And GRUs

Last update on July 31, 2017.

Image Credit: Serhii Bobyk / Shutterstock.com

 

In this series, I investigate the potential of several well known neural network architectures to predict Canadian stock prices, given only historical prices and trade volumes. In part 1 of this series, I investigated convolutional neural networks and discovered that they had some predictive capability, though perhaps not enough to prove useful for trading.

For this instalment of the series, I’ve trained two different neural network architectures - the Long Short-Term Memory (LSTM), and the Gated Recurrent Unit (GRU) - on the same data. Both LSTM and GRU are instances of a ...

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Can Stock Price History Be Used To Predict Future Prices? Part 1: Convolutional Neural Networks

Last update on June 26, 2017.

Image Credit: Arkadiy Chumakov / Shutterstock.com

 

In my first set of articles on machine learning, I investigated whether deep neural networks, when trained on financial ratios, could predict future stock prices. The conclusion I drew in the second article was that no, financial ratios didn’t predict future stock prices. This finding was consistent with other people’s observations that algorithm driven value investing hasn’t worked in the past decade or so.

But while value investing hasn’t worked, other relatively simple strategies have. Some of these strategies solely act on signals drawn from the behaviour of stock prices ...

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Can Financial Ratios Predict Next Year's Stock Performance? (Part 2)

Last update on April 30, 2017.

Image Credit: Zapp2Photo / Shutterstock.com

 

In part 1 of this series, I explained how deep neural networks (DNN) can discern complex cause and effect relationships that traditional statistical models can’t. I had also set up the question we are trying to evaluate using DNNs: is there some combination of financial ratios that can predict individual stock performances over the next 12 months?

In this article, I continue where I left off and present some of the results. I will also discuss some possible explanations behind the results and explore some ideas for the future.

I mentioned ...

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Can Financial Ratios Predict Next Year's Stock Performance? (Part 1)

Last update on April 24, 2017.

Image Credit: Zapp2Photo / Shutterstock.com

 

Machine learning is arguably the hottest topic in technology today. It’s what has enabled us to shoot videos of ourselves spewing rainbows, and it’s what will enable cars to drive themselves in the future.

As I’ve read more about the topic, I’ve begun to wonder if machine learning could be applied to investing. To deepen my knowledge, I’ve spent the last few months reading books on the subject and practicing on data sets.

Fortunately, my educational background has allowed me to pick up the topic more easily. Machine learning, at its ...

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