Essays about: "Denis Dvinskikh"

Found 1 essay containing the words Denis Dvinskikh.

  1. 1. Classifying stock returns using high-frequency fundamental factors and convolutional neural networks

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Denis Dvinskikh; Axel Kotnik; [2021]
    Keywords : convolutional neural networks; fundamental factors; technical indicators; high-frequency stock prices; classification;

    Abstract : We evaluate the usefulness of high-frequency fundamental factor exposures of five US equities, between 2013 and 2017, as features for classifying and predicting the binary movements of the same stocks in 5-minute and 20-day intervals using Convolutional Neural Networks (CNN). After plotting rolling factor betas (Market, HML, SMB) and the close price of a given stock in the corresponding intervals, these time series are converted into images as Gramian Angular Difference Fields (GADF) and then concatenated to be fed to the CNN as input. READ MORE