Fintech Thrust Seminar | (Re-)Imag(in)ing Price Trends

11:00am - 12:00pm
Online via Zoom

We reconsider the idea of trend-based predictability using methods that flexibly learn price patterns that are most predictive of future returns, rather than testing hypothesized or pre-specified patterns (e.g., momentum and reversal). Our raw predictor data are images—stock-level price charts—from which we elicit the price patterns that best predict returns using machine learning image analysis methods. The predictive patterns we identify are largely distinct from trend signals commonly analyzed in the literature, give more accurate return predictions, translate into more profitable investment strategies, and are robust to a battery of specification variations. They also appear context-independent: Predictive patterns estimated at short time scales (e.g., daily data) give similarly strong predictions when applied at longer time scales (e.g., monthly), and patterns learned from US stocks predict equally well in international markets.

Keywords: convolutional neural network (CNN), image classification, transfer learning, machine learning, technical analysis, return prediction

場地開放時間
Zoom ID: 926 2186 1328
Passcode: Fintech
講者/ 表演者:
Prof. Dacheng Xiu
University of Chicago

Prof. Xiu’s research interests include developing statistical methodologies and applying them to financial data, while exploring their economic implications. His earlier research involved risk measurement and portfolio management with high-frequency data and econometric modeling of derivatives. His current work focuses on developing machine learning solutions to big-data problems in empirical asset pricing.

語言
英文
適合對象
教職員
公眾
研究生
本科生
主辦單位
Society Hub, HKUST(GZ) 代表 Financial Technology Thrust, HKUST(GZ)
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