CNNpred: CNN-based stock market prediction using a diverse set of variables

Ehsan Hoseinzade, Saman Haratizadeh

Abstract: Highlights•3D-CNNpred is the first 3-dimensional CNN model designed for stock market prediction.•CNNpred successfully combines various sources of information for prediction.•CNNs filters are designed to better handle financial data.•Deep CNN-based framework significantly outperforms shallow ANNs.•CNNpred is profitable in 4 out of 5 tested indices in presence of transaction costs.