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Training ensembles of faceted classification models for quantitative stock trading

  • Luca CaglieroEmail author
  • Paolo Garza
  • Giuseppe Attanasio
  • Elena Baralis
Article
  • 60 Downloads

Abstract

Forecasting the stock markets is among the most popular research challenges in finance. Several quantitative trading systems based on supervised machine learning approaches have been presented in literature. Recently proposed solutions train classification models on historical stock-related datasets. Training data include a variety of features related to different facets (e.g., stock price trends, exchange volumes, price volatility, news and public mood). To increase the accuracy of the predictions, multiple models are often combined together using ensemble methods. However, understanding which models should be combined together and how to effectively handle features related to different facets within different models are still open research questions. In this paper we investigate the use of ensemble methods to combine faceted classification models for supporting stock trading. To this aim, separate classification models are trained on each subset of features belonging to the same facet. They produce trading signals tailored to a specific facet. Signals are then combined together and filtered to generate a unified, multi-faceted recommendation. The experimental validation, performed on different markets and in different conditions, shows that, in many cases, some of the faceted models perform as good as or better than models trained on a mix of different features. An ensemble of the faceted recommendations makes the generated trading signals more profitable yet robust to draw-down periods.

Keywords

Quantitative stock trading Classification Ensemble methods Financial application 

Mathematics Subject Classification

68U35 

Notes

Supplementary material

607_2019_776_MOESM1_ESM.xlsx (5.5 mb)
Supplementary material 1 (xlsx 5600 KB)

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Copyright information

© Springer-Verlag GmbH Austria, part of Springer Nature 2020

Authors and Affiliations

  1. 1.Dipartimento di Automatica e InformaticaPolitecnico di TorinoTurinItaly

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