Deep Learning in Finance Repository
This repository contains the code used for developing the material for the presentation titles Deep Learning in Finance by Sonam Srivastava, presented at RE-WORK Deep Learning in Finance Conference in Singapore.
Link for the same is: http://videos.re-work.co/events/22-deep-learning-in-finance-summit-singapore-2017
Mainly two studies were done:
- Return Prediction - Gold Price prediction was done using - ARIMA, VAR, SVR, Deep Regression, CNN and LSTM and results compared.
- Portfolio Construction - A smart indexing based portfolio construction exercise was undertaken using deep neural networks and autoencoders based on http://onlinelibrary.wiley.com/doi/10.1002/asmb.2209/pdf