We develop a large-scale deep learning model to predict price movements from limit order book (LOB) data of cash equities. The architecture utilizes convolutional filters to capture the spatial structure of the LOBs as well as long short-term memory modules to capture longer time dependencies. The proposed network outperforms all existing state-of-the-art algorithms on the benchmark LOB dataset [A. Ntakaris, M. Magris, J. Kanniainen, M. Gabbouj, and A. Iosifidis, “Benchmark dataset for mid-price prediction of limit order book data with machine learning methods,” J. Forecasting , vol. 37, no. 8, 852–866, 2018]. In a more realistic setting, we test our model by using one-year market quotes from the London Stock Exchange, and the model delivers a remarkably stable out-of-sample prediction accuracy for a variety of instruments. Importantly, our model translates well to instruments that were not part of the training set, indicating the model's ability to extract universal features. In order to better understand these features and to go beyond a “black box” model, we perform a sensitivity analysis to understand the rationale behind the model predictions and reveal the components of LOBs that are most relevant. The ability to extract robust features that translate well to other instruments is an important property of our model, which has many other applications.
The Long Short-Term Memory (LSTM) @cite_21 was originally proposed to solve the vanishing gradients problem @cite_58 of recurrent neural networks, and has been largely used in applications such as language modelling @cite_26 and sequence to sequence learning @cite_27 . Unlike CNNs which are less widely applied in financial markets, the LSTM has been popular in recent years, @cite_50 @cite_10 @cite_71 @cite_35 @cite_48 @cite_38 @cite_0 @cite_39 all utilising LSTMs to analyse financial data. In particular, @cite_59 uses limit order data from 1000 stocks to test a four layer LSTM model. Their results show a stable out-of-sample prediction accuracy across time, indicating the potential benefits of deep learning methods. To the best of our knowledge, there is no work that combines CNNs with LSTMs to predict stock price movements and this is the first extensive study to apply a nested CNN-LSTM model to raw market data. In particular, the usage of the Inception Model in this context is novel and is essential in inferring the optimal decay rates'' of the extracted features.
@cite_35 @cite_38 @cite_26 @cite_48 @cite_21 @cite_39 @cite_0 @cite_27 @cite_50 @cite_71 @cite_59 @cite_58 @cite_10
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Long short-term memory (LSTM) networks are a state-of-the-art technique for sequence learning. They are less commonly applied to financial time series predictions, yet inherently suitable for this domain. We deploy LSTM networks for predicting out-of-sample directional movements for the constituent stocks of the S&P 500 from 1992 until 2015. With daily returns of 0.46 percent and a Sharpe ratio of 5.8 prior to transaction costs, we find LSTM networks to outperform memory-free classification methods, i.e., a random forest (RAF), a deep neural net (DNN), and a logistic regression classifier (LOG). The outperformance relative to the general market is very clear from 1992 to 2009, but as of 2010, excess returns seem to have been arbitraged away with LSTM profitability fluctuating around zero after transaction costs. We further unveil sources of profitability, thereby shedding light into the black box of artificial neural networks. Specifically, we find one common pattern among the stocks selected for trading – they exhibit high volatility and a short-term reversal return profile. Leveraging these findings, we are able to formalize a rules-based short-term reversal strategy that yields 0.23 percent prior to transaction costs. Further regression analysis unveils low exposure of the LSTM returns to common sources of systematic risk – also compared to the three benchmark models. Recurrent neural networks (RNNs), such as long short-term memory networks (LSTMs), serve as a fundamental building block for many sequence learning tasks, including machine translation, language modeling, and question answering. In this paper, we consider the specific problem of word-level language modeling and investigate strategies for regularizing and optimizing LSTM-based models. We propose the weight-dropped LSTM which uses DropConnect on hidden-to-hidden weights as a form of recurrent regularization. Further, we introduce NT-ASGD, a variant of the averaged stochastic gradient method, wherein the averaging trigger is determined using a non-monotonic condition as opposed to being tuned by the user. Using these and other regularization strategies, we achieve state-of-the-art word level perplexities on two data sets: 57.3 on Penn Treebank and 65.8 on WikiText-2. In exploring the effectiveness of a neural cache in conjunction with our proposed model, we achieve an even lower state-of-the-art perplexity of 52.8 on Penn Treebank and 52.0 on WikiText-2. This work presents an end-to-end trainable deep bidirectional LSTM (Long-Short Term Memory) model for image captioning. Our model builds on a deep convolutional neural network (CNN) and two separate LSTM networks. It is capable of learning long term visual-language interactions by making use of history and future context information at high level semantic space. Two novel deep bidirectional variant models, in which we increase the depth of nonlinearity transition in different way, are proposed to learn hierarchical visual-language embeddings. Data augmentation techniques such as multi-crop, multi-scale and vertical mirror are proposed to prevent overfitting in training deep models. We visualize the evolution of bidirectional LSTM internal states over time and qualitatively analyze how our models "translate" image to sentence. Our proposed models are evaluated on caption generation and image-sentence retrieval tasks with three benchmark datasets: Flickr8K, Flickr30K and MSCOCO datasets. We demonstrate that bidirectional LSTM models achieve highly competitive performance to the state-of-the-art results on caption generation even without integrating additional mechanism (e.g. object detection, attention model etc.) and significantly outperform recent methods on retrieval task Long Short-Term Memory (LSTM) networks, a type of recurrent neural network with a more complex computational unit, have been successfully applied to a variety of sequence modeling tasks. In this paper we develop Tree Long Short-Term Memory (TreeLSTM), a neural network model based on LSTM, which is designed to predict a tree rather than a linear sequence. TreeLSTM defines the probability of a sentence by estimating the generation probability of its dependency tree. At each time step, a node is generated based on the representation of the generated sub-tree. We further enhance the modeling power of TreeLSTM by explicitly representing the correlations between left and right dependents. Application of our model to the MSR sentence completion challenge achieves results beyond the current state of the art. We also report results on dependency parsing reranking achieving competitive performance. In this paper, we extend the deep long short-term memory (DLSTM) recurrent neural networks by introducing gated direct connections between memory cells in adjacent layers. These direct links, called highway connections, enable unimpeded information flow across different layers and thus alleviate the gradient vanishing problem when building deeper LSTMs. We further introduce the latency-controlled bidirectional LSTMs (BLSTMs) which can exploit the whole history while keeping the latency under control. Efficient algorithms are proposed to train these novel networks using both frame and sequence discriminative criteria. Experiments on the AMI distant speech recognition (DSR) task indicate that we can train deeper LSTMs and achieve better improvement from sequence training with highway LSTMs (HLSTMs). Our novel model obtains @math WER on AMI (SDM) dev and eval sets, outperforming all previous works. It beats the strong DNN and DLSTM baselines with @math and @math relative improvement respectively. Learning to store information over extended time intervals by recurrent backpropagation takes a very long time, mostly because of insufficient, decaying error backflow. We briefly review Hochreiter's (1991) analysis of this problem, then address it by introducing a novel, efficient, gradient based method called long short-term memory (LSTM). Truncating the gradient where this does not do harm, LSTM can learn to bridge minimal time lags in excess of 1000 discrete-time steps by enforcing constant error flow through constant error carousels within special units. Multiplicative gate units learn to open and close access to the constant error flow. LSTM is local in space and time; its computational complexity per time step and weight is O. 1. Our experiments with artificial data involve local, distributed, real-valued, and noisy pattern representations. In comparisons with real-time recurrent learning, back propagation through time, recurrent cascade correlation, Elman nets, and neural sequence chunking, LSTM leads to many more successful runs, and learns much faster. LSTM also solves complex, artificial long-time-lag tasks that have never been solved by previous recurrent network algorithms. Recurrent Neural Networks (RNNs) with Long Short-Term Memory units (LSTM) are widely used because they are expressive and are easy to train. Our interest lies in empirically evaluating the expressiveness and the learnability of LSTMs in the sequence-to-sequence regime by training them to evaluate short computer programs, a domain that has traditionally been seen as too complex for neural networks. We consider a simple class of programs that can be evaluated with a single left-to-right pass using constant memory. Our main result is that LSTMs can learn to map the character-level representations of such programs to their correct outputs. Notably, it was necessary to use curriculum learning, and while conventional curriculum learning proved ineffective, we developed a new variant of curriculum learning that improved our networks' performance in all experimental conditions. The improved curriculum had a dramatic impact on an addition problem, making it possible to train an LSTM to add two 9-digit numbers with 99 accuracy. Recurrent Neural Network (RNN) and one of its specific architectures, Long Short-Term Memory (LSTM), have been widely used for sequence labeling. In this paper, we first enhance LSTM-based sequence labeling to explicitly model label dependencies. Then we propose another enhancement to incorporate the global information spanning over the whole input sequence. The latter proposed method, encoder-labeler LSTM, first encodes the whole input sequence into a fixed length vector with the encoder LSTM, and then uses this encoded vector as the initial state of another LSTM for sequence labeling. Combining these methods, we can predict the label sequence with considering label dependencies and information of whole input sequence. In the experiments of a slot filling task, which is an essential component of natural language understanding, with using the standard ATIS corpus, we achieved the state-of-the-art F1-score of 95.66 . The Long Short-Term Memory Recurrent Neural Network (LSTM-RNN) has been demonstrated successful in handwritten text recognition of Western and Arabic scripts. It is totally segmentation free and can be trained directly from text line images. However, the application of LSTM-RNNs (including Multi-Dimensional LSTM-RNN (MDLSTM-RNN)) to Chinese text recognition has shown limited success, even when training them with large datasets and using pre-training on datasets of other languages. In this paper, we propose a handwritten Chinese text recognition method by using Separable MDLSTMRNN (SMDLSTM-RNN) modules, which extract contextual information in various directions, and consume much less computation efforts and resources compared with the traditional MDLSTMRNN. Experimental results on the ICDAR-2013 competition dataset show that the proposed method performs significantly better than the previous LSTM-based methods, and can compete with the state-of-the-art systems. Long short-term memory (LSTM) is a specific recurrent neural network (RNN) architecture that is designed to model temporal sequences and their long-range dependencies more accurately than conventional RNNs. In this paper, we propose to use deep bidirectional LSTM (BLSTM) for audio visual modeling in our photo-real talking head system. An audio visual database of a subject's talking is firstly recorded as our training data. The audio visual stereo data are converted into two parallel temporal sequences, i.e., contextual label sequences obtained by forced aligning audio against text, and visual feature sequences by applying active-appearance-model (AAM) on the lower face region among all the training image samples. The deep BLSTM is then trained to learn the regression model by minimizing the sum of square error (SSE) of predicting visual sequence from label sequence. After testing different network topologies, we interestingly found the best network is two BLSTM layers sitting on top of one feed-forward layer on our datasets. Compared with our previous HMM-based system, the newly proposed deep BLSTM-based one is better on both objective measurement and subjective A B test. Neural network based approaches have recently produced record-setting performances in natural language understanding tasks such as word labeling. In the word labeling task, a tagger is used to assign a label to each word in an input sequence. Specifically, simple recurrent neural networks (RNNs) and convolutional neural networks (CNNs) have shown to significantly outperform the previous state-of-the-art - conditional random fields (CRFs). This paper investigates using long short-term memory (LSTM) neural networks, which contain input, output and forgetting gates and are more advanced than simple RNN, for the word labeling task. To explicitly model output-label dependence, we propose a regression model on top of the LSTM un-normalized scores. We also propose to apply deep LSTM to the task. We investigated the relative importance of each gate in the LSTM by setting other gates to a constant and only learning particular gates. Experiments on the ATIS dataset validated the effectiveness of the proposed models. The long short-term memory (LSTM) neural network is capable of processing complex sequential information since it utilizes special gating schemes for learning representations from long input sequences. It has the potential to model any time-series or sequential data, where the current hidden state has to be considered in the context of the past hidden states. This property makes LSTM an ideal choice to learn the complex dynamics of various actions. Unfortunately, the conventional LSTMs do not consider the impact of spatio-temporal dynamics corresponding to the given salient motion patterns, when they gate the information that ought to be memorized through time. To address this problem, we propose a differential gating scheme for the LSTM neural network, which emphasizes on the change in information gain caused by the salient motions between the successive frames. This change in information gain is quantified by Derivative of States (DoS), and thus the proposed LSTM model is termed as differential Recurrent Neural Network (dRNN). We demonstrate the effectiveness of the proposed model by automatically recognizing actions from the real-world 2D and 3D human action datasets. Our study is one of the first works towards demonstrating the potential of learning complex time-series representations via high-order derivatives of states. In this paper, a novel architecture for a deep recurrent neural network, residual LSTM is introduced. A plain LSTM has an internal memory cell that can learn long term dependencies of sequential data. It also provides a temporal shortcut path to avoid vanishing or exploding gradients in the temporal domain. The residual LSTM provides an additional spatial shortcut path from lower layers for efficient training of deep networks with multiple LSTM layers. Compared with the previous work, highway LSTM, residual LSTM separates a spatial shortcut path with temporal one by using output layers, which can help to avoid a conflict between spatial and temporal-domain gradient flows. Furthermore, residual LSTM reuses the output projection matrix and the output gate of LSTM to control the spatial information flow instead of additional gate networks, which effectively reduces more than 10 of network parameters. An experiment for distant speech recognition on the AMI SDM corpus shows that 10-layer plain and highway LSTM networks presented 13.7 and 6.2 increase in WER over 3-layer aselines, respectively. On the contrary, 10-layer residual LSTM networks provided the lowest WER 41.0 , which corresponds to 3.3 and 2.8 WER reduction over plain and highway LSTM networks, respectively.