Deep Modeling Complex Couplings within Financial Markets

Authors

  • Wei Cao University of Technology, Sydney
  • Liang Hu University of Technology and Shanghai Jiaotong University
  • Longbing Cao University of Technology

DOI:

https://doi.org/10.1609/aaai.v29i1.9559

Keywords:

Complex Couplings, Deep Belief Network, Time Series Model

Abstract

The global financial crisis occurred in 2008 and its contagion to other regions, as well as the long-lasting impact on different markets, show that it is increasingly important to understand the complicated coupling relationships across financial markets. This is indeed very difficult as complex hidden coupling relationships exist between different financial markets in various countries, which are very hard to model. The couplings involve interactions between homogeneous markets from various countries (we call intra-market coupling), interactions between heterogeneous markets (inter-market coupling) and interactions between current and past market behaviors (temporal coupling). Very limited work has been done towards modeling such complex couplings, whereas some existing methods predict market movement by simply aggregating indicators from various markets but ignoring the inbuilt couplings. As a result, these methods are highly sensitive to observations, and may often fail when financial indicators change slightly. In this paper, a coupled deep belief network is designed to accommodate the above three types of couplings across financial markets. With a deep-architecture model to capture the high-level coupled features, the proposed approach can infer market trends. Experimental results on data of stock and currency markets from three countries show that our approach outperforms other baselines, from both technical and business perspectives.

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Published

2015-02-21

How to Cite

Cao, W., Hu, L., & Cao, L. (2015). Deep Modeling Complex Couplings within Financial Markets. Proceedings of the AAAI Conference on Artificial Intelligence, 29(1). https://doi.org/10.1609/aaai.v29i1.9559

Issue

Section

Main Track: Novel Machine Learning Algorithms