Stock Market Sentiment Classification and Backtesting via Fine-tuned BERT

With the rapid development of big data and computing devices, low-latency automatic trading platforms based on real-time information acquisition have become the main components of the stock trading market, so the topic of quantitative trading has received widespread attention. And for non-strongly efficient trading markets, human emotions and expectations always dominate market trends and trading decisions. Therefore, this paper starts from the theory of emotion, taking East Money as an example, crawling user comment titles data from its corresponding stock bar and performing data cleaning. Subsequently, a natural language processing model BERT was constructed, and the BERT model was fine-tuned using existing annotated data sets. The experimental results show that the fine-tuned model has different degrees of performance improvement compared to the original model and the baseline model. Subsequently, based on the above model, the user comment data crawled is labeled with emotional polarity, and the obtained label information is combined with the Alpha191 model to participate in regression, and significant regression results are obtained. Subsequently, the regression model is used to predict the average price change for the next five days, and use it as a signal to guide automatic trading. The experimental results show that the incorporation of emotional factors increased the return rate by 73.8\% compared to the baseline during the trading period, and by 32.41\% compared to the original alpha191 model. Finally, we discuss the advantages and disadvantages of incorporating emotional factors into quantitative trading, and give possible directions for further research in the future.

Bi-LSTM Price Prediction based on Attention Mechanism

With the increasing enrichment and development of the financial derivatives market, the frequency of transactions is also faster and faster. Due to human limitations, algorithms and automatic trading have recently become the focus of discussion. In this paper, we propose a bidirectional LSTM neural network based on an attention mechanism, which is based on two popular assets, gold and bitcoin. In terms of Feature Engineering, on the one hand, we add traditional technical factors, and at the same time, we combine time series models to develop factors. In the selection of model parameters, we finally chose a two-layer deep learning network. According to AUC measurement, the accuracy of bitcoin and gold is 71.94% and 73.03% respectively. Using the forecast results, we achieved a return of 1089.34% in two years. At the same time, we also compare the attention Bi-LSTM model proposed in this paper with the traditional model, and the results show that our model has the best performance in this data set. Finally, we discuss the significance of the model and the experimental results, as well as the possible improvement direction in the future.

A Novel Deep Reinforcement Learning Based Automated Stock Trading System Using Cascaded LSTM Networks

More and more stock trading strategies are constructed using deep reinforcement learning (DRL) algorithms, but DRL methods originally widely used in the gaming community are not directly adaptable to financial data with low signal-to-noise ratios and unevenness, and thus suffer from performance shortcomings. In this paper, to capture the hidden information, we propose a DRL based stock trading system using cascaded LSTM, which first uses LSTM to extract the time-series features from stock daily data, and then the features extracted are fed to the agent for training, while the strategy functions in reinforcement learning also use another LSTM for training. Experiments in DJI in the US market and SSE50 in the Chinese stock market show that our model outperforms previous baseline models in terms of cumulative returns and Sharp ratio, and this advantage is more significant in the Chinese stock market, a merging market. It indicates that our proposed method is a promising way to build a automated stock trading system.

Reconstruction of gene regulatory network via sparse optimization

In this paper, we tested several sparse optimization algorithms based on the public dataset of the DREAM5 Gene Regulatory Network Inference Challenge. And we find that introducing 20% of the regulatory network as a priori known data can provide a basis for parameter selection of inference algorithms, thus improving prediction efficiency and accuracy. In addition to testing common sparse optimization methods, we also developed voting algorithms by bagging them. Experiments on the DREAM5 dataset show that the sparse optimization-based inference of the moderation relation works well, achieving better results than the official DREAM5 results on three datasets. However, the performance of traditional independent algorithms varies greatly in the face of different datasets, while our voting algorithm achieves the best results on three of the four datasets.

Palm Vein Recognition via Multi-task Loss Function and Attention Layer

With the improvement of arithmetic power and algorithm accuracy of personal devices, biological features are increasingly widely used in personal identification, and palm vein recognition has rich extractable features and has been widely studied in recent years. However, traditional recognition methods are poorly robust and susceptible to environmental influences such as reflections and noise. In this paper, a convolutional neural network based on VGG-16 transfer learning fused attention mechanism is used as the feature extraction network on the infrared palm vein dataset. The palm vein classification task is first trained using palmprint classification methods, followed by matching using a similarity function, in which we propose the multi-task loss function to improve the accuracy of the matching task. In order to verify the robustness of the model, some experiments were carried out on datasets from different sources. Then, we used K-means clustering to determine the adaptive matching threshold and finally achieved an accuracy rate of 98.89% on prediction set. At the same time, the matching is with high efficiency which takes an average of 0.13 seconds per palm vein pair, and that means our method can be adopted in practice.