TCN-based Futures Prediction Using Financial Indices, Bargain Chips, and Forum Messages

Min Te Sun, Kotcharat Kitchat, Li Chung Hsieh

研究成果: 書貢獻/報告類型會議論文篇章同行評審

摘要

Traditional research on the stock and/or futures price prediction mostly uses the past stock/future prices and technique indicators, such as KD, RSI, and MACD, as features. Very few studies consider the forum messages or bargaining chips as stock and/or futures price prediction features. In this research, discussion messages from both PTT and CMoney forums are converted into daily sentimental vectors using the retrained BERT. The daily sentimental vector as well as three bargaining chips are then used as features to train the GRU and TCN models. The experiment results show that the TCN performs better than the GRU-based RNN model in terms of MAE, MAPE, RMSE, and accuracy. In addition, both of the bargaining chips and forum messages are verified to be useful in the futures price prediction. The market simulations based on the historical futures price show that a simple investment strategy using the TCN models with techniques, bargaining chips, and forum messages can earn more than 7 times of the investment in the period of one year.

原文???core.languages.en_GB???
主出版物標題Proceedings - 2021 International Conference on Technologies and Applications of Artificial Intelligence, TAAI 2021
發行者Institute of Electrical and Electronics Engineers Inc.
頁面72-77
頁數6
ISBN(電子)9781665408257
DOIs
出版狀態已出版 - 2021
事件26th International Conference on Technologies and Applications of Artificial Intelligence, TAAI 2021 - Taichung, Taiwan
持續時間: 18 11月 202120 11月 2021

出版系列

名字Proceedings - 2021 International Conference on Technologies and Applications of Artificial Intelligence, TAAI 2021

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???event.eventtypes.event.conference???26th International Conference on Technologies and Applications of Artificial Intelligence, TAAI 2021
國家/地區Taiwan
城市Taichung
期間18/11/2120/11/21

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