Enhancing profit from stock transactions using neural networks

Ahana Roy Choudhury, Soheila Abrishami, Michael Turek, Piyush Kumar

Abstract: Financial time-series forecasting, and profit maximization is a challenging task, which has attracted the interest of several researchers and is immensely important for investors. In this paper, we present a deep learning system, which uses a variety of data for a subset of the stocks on the NASDAQ exchange to forecast the stock price. Our framework allows the use of a variational autoencoder (VAE) to remove noise and time-series data engineering to extract higher-level features. A Stacked LSTM Autoencoder is used to perform multi-step-ahead prediction of the stock closing price. This prediction is used by two profit-maximization strategies that include greedy approach and short selling. Besides, we use reinforcement learning as a third profit-enhancement strategy and compare these three strategies to offline strategies that use the actual future prices. Results show that the proposed methods outperform the state-of-the-art time-series forecasting approaches in terms of predictive accuracy and profitability.