Deep Transformer-Based Asset Price and Direction Prediction
The field of algorithmic trading, driven by deep learning methodologies, has garnered substantial attention in recent times. Within this domain, transformers, convolutional neural networks, and patch embedding-based techniques have emerged as popular choices within the computer vision community. Her...
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IEEE
2024-01-01
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Online Access: | https://ieeexplore.ieee.org/document/10414094/ |
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author | Abdul Haluk Batur Gezici Emre Sefer |
author_facet | Abdul Haluk Batur Gezici Emre Sefer |
author_sort | Abdul Haluk Batur Gezici |
collection | DOAJ |
description | The field of algorithmic trading, driven by deep learning methodologies, has garnered substantial attention in recent times. Within this domain, transformers, convolutional neural networks, and patch embedding-based techniques have emerged as popular choices within the computer vision community. Here, inspired by the latest cutting-edge computer vision methodologies and the existing work showing the capability of image-like conversion for time-series datasets, we apply more advanced transformer-based and patch-based approaches for predicting asset prices and directional price movements. The employed transformer models include Vision Transformer (ViT), Data Efficient Image Transformers (DeiT), and Swin. We use ConvMixer for a patch embedding-based convolutional neural network architecture without a transformer. Our tested transformer-based and patch-based methodologies aim to predict asset prices and directional movements using historical price data by leveraging the inherent image-like properties within the historical time-series dataset. Before the implementation of attention-based architectures, the historical time series price dataset is transformed into two-dimensional images. This transformation is facilitated through the incorporation of various common technical financial indicators, each contributing to the data for a fixed number of consecutive days. Consequently, a diverse set of two-dimensional images is constructed, reflecting various dimensions of the dataset. Subsequently, the original images depicting market valleys and peaks are annotated with labels such as Hold, Buy, or Sell. According to the experiments, trained attention-based models consistently outperform the baseline convolutional architectures, particularly when applied to a subset of frequently traded Exchange-Traded Funds (ETFs). This better performance of attention-based architectures, especially ViT, is evident in terms of both accuracy and other financial evaluation metrics, particularly during extended testing and holding periods. These findings underscore the potential of transformer-based approaches to enhance predictive capabilities in asset price and directional forecasting. Our code and processed datasets are available at <uri>https://github.com/seferlab/price_transformer</uri>. |
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format | Article |
id | doaj.art-6fc7bfc6de9f4ab4b8920bfe7a8d0074 |
institution | Directory Open Access Journal |
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language | English |
last_indexed | 2024-03-07T23:41:24Z |
publishDate | 2024-01-01 |
publisher | IEEE |
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series | IEEE Access |
spelling | doaj.art-6fc7bfc6de9f4ab4b8920bfe7a8d00742024-02-20T00:01:08ZengIEEEIEEE Access2169-35362024-01-0112241642417810.1109/ACCESS.2024.335845210414094Deep Transformer-Based Asset Price and Direction PredictionAbdul Haluk Batur Gezici0https://orcid.org/0009-0006-7002-2645Emre Sefer1https://orcid.org/0000-0002-9186-0270Computer Science Department, Özyeğin University, İstanbul, TurkeyComputer Science Department, Özyeğin University, İstanbul, TurkeyThe field of algorithmic trading, driven by deep learning methodologies, has garnered substantial attention in recent times. Within this domain, transformers, convolutional neural networks, and patch embedding-based techniques have emerged as popular choices within the computer vision community. Here, inspired by the latest cutting-edge computer vision methodologies and the existing work showing the capability of image-like conversion for time-series datasets, we apply more advanced transformer-based and patch-based approaches for predicting asset prices and directional price movements. The employed transformer models include Vision Transformer (ViT), Data Efficient Image Transformers (DeiT), and Swin. We use ConvMixer for a patch embedding-based convolutional neural network architecture without a transformer. Our tested transformer-based and patch-based methodologies aim to predict asset prices and directional movements using historical price data by leveraging the inherent image-like properties within the historical time-series dataset. Before the implementation of attention-based architectures, the historical time series price dataset is transformed into two-dimensional images. This transformation is facilitated through the incorporation of various common technical financial indicators, each contributing to the data for a fixed number of consecutive days. Consequently, a diverse set of two-dimensional images is constructed, reflecting various dimensions of the dataset. Subsequently, the original images depicting market valleys and peaks are annotated with labels such as Hold, Buy, or Sell. According to the experiments, trained attention-based models consistently outperform the baseline convolutional architectures, particularly when applied to a subset of frequently traded Exchange-Traded Funds (ETFs). This better performance of attention-based architectures, especially ViT, is evident in terms of both accuracy and other financial evaluation metrics, particularly during extended testing and holding periods. These findings underscore the potential of transformer-based approaches to enhance predictive capabilities in asset price and directional forecasting. Our code and processed datasets are available at <uri>https://github.com/seferlab/price_transformer</uri>.https://ieeexplore.ieee.org/document/10414094/Asset price predictiondeep learningattentionvision transformersconvolutional neural network |
spellingShingle | Abdul Haluk Batur Gezici Emre Sefer Deep Transformer-Based Asset Price and Direction Prediction IEEE Access Asset price prediction deep learning attention vision transformers convolutional neural network |
title | Deep Transformer-Based Asset Price and Direction Prediction |
title_full | Deep Transformer-Based Asset Price and Direction Prediction |
title_fullStr | Deep Transformer-Based Asset Price and Direction Prediction |
title_full_unstemmed | Deep Transformer-Based Asset Price and Direction Prediction |
title_short | Deep Transformer-Based Asset Price and Direction Prediction |
title_sort | deep transformer based asset price and direction prediction |
topic | Asset price prediction deep learning attention vision transformers convolutional neural network |
url | https://ieeexplore.ieee.org/document/10414094/ |
work_keys_str_mv | AT abdulhalukbaturgezici deeptransformerbasedassetpriceanddirectionprediction AT emresefer deeptransformerbasedassetpriceanddirectionprediction |