The efficiency of various types of input layers of LSTM model in investment strategies on S&P500 index
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References listed on IDEAS
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- Rayadurgam, Vikram Chandramouli & Mangalagiri, Jayasree, 2023. "Does inclusion of GARCH variance in deep learning models improve financial contagion prediction?," Finance Research Letters, Elsevier, vol. 54(C).
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More about this item
Keywords
algorithmic investment strategies; machine learning; testing architecture; deep learning; recurrent neural networks; LSTM; technical indicators; forecasting financial-time series; technical indicators; hyperparameter tuning S&P 500 Index;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2023-01-09 (Big Data)
- NEP-CMP-2023-01-09 (Computational Economics)
- NEP-FMK-2023-01-09 (Financial Markets)
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