Deep learning for stock market trading: A superior trading strategy?

Abstract

Deep-learning initiatives have vastly changed the analysis of data. Complex networks became accessible to anyone in any research area. In this paper we are proposing a deep-learning long short-term memory network (LSTM) for automated stock trading. A mechanical trading system is used to evaluate its performance. The proposed solution is compared to traditional trading strategies, i.e., passive and rule-based trading strategies, as well as machine learning classifiers. We have discovered that the deep-learning long short-term memory network has outperformed other trading strategies for the German blue-chip stock, BMW, during the 2010-2018 period.