جستجوی مقالات مرتبط با کلیدواژه "convolutional neural networks" در نشریات گروه "مالی"

Convolutional neural networks are being applied to identification problems in a variety of fields, and in some areas are showing higher discrimination accuracies than conventional methods. Hence, in this research, an attempt is made to apply a convolutional neural network to the prediction of corporate bankruptcy. The financial statements ratios has been choice 66 companies that have been delisted from the Iran Stock Market due to de facto bankruptcy as well as the financial statements of 66 listed companies over 2000 to 2019 financial periods. In this method, a set of financial ratios are derived from the financial statements and represented as a grayscale image. The image generated by this process is utilized for training and testing a convolutional neural network. The images for the bankrupt and continuing enterprises classes are used for training the convolutional neural network based on GoogLeNet. The findings shows, in prediction of going concern of firms, Convolutional neural network has predicted with 50 percent of precision. This means that 50 percent of continues firms and 50 percent of bankrupt firms has been predicted precisely.

In recent years, many articles and researches have been published on the use of machine learning methods and algorithmic trading in financial markets in order to earn returns. The aim of this study is to create an automated trading system using image processing by convolutional neural network. For this purpose, initially, after receiving the data required for the selected stocks, 28 technical analysis indicators were selected and the values of each were calculated separately for each stock. Then the time series of these indicators were converted to 2D images, and as a result, for each data on the time series of the stock price, a 2D image with dimensions of 28 x 28 was created. After labeling each image with one of the buy, sell, or hold labels, these images entered the convolutional neural network. Also, to evaluate the return and risk of the proposed system, a method for buying and selling based on the results of the model in the past has been introduced. The results show that in 80% of cases, this method is more effective than the buy and hold strategy. It also always performs better in terms of standard deviation risk and maximum drawdown. Also, the results show the high impact of trading commission on the Tehran Stock Exchange on the return of the model. In such a way that the model loses many times the profit earned for the payment of the commission.