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Deep Learning for Multivariate
Financial Time Series
Gilberto Batres-Estrada
June 4, 2015
Abstract
Deep learning is a framework for training and modelling neural networks
which recently have surpassed all conventional methods in many learning
tasks, prominently image and voice recognition.
This thesis uses deep learning algorithms to forecast financial data. The
deep learning framework is used to train a neural network. The deep neural
network is a DBN coupled to a MLP. It is used to choose stocks to form
portfolios. The portfolios have better returns than the median of the stocks
forming the list. The stocks forming the S&P 500 are included in the study.
The results obtained from the deep neural network are compared to bench-
marks from a logistic regression network, a multilayer perceptron and a naive
benchmark. The results obtained from the deep neural network are better
and more stable than the benchmarks. The findings support that deep learn-
ing methods will find their way in finance due to their reliability and good
performance.
Keywords: Back-Propagation Algorithm, Neural networks, Deep Belief Net-
works, Multilayer Perceptron, Deep Learning, Contrastive Divergence, Greedy
Layer-wise Pre-training.
Acknowledgements
I would like to thank Söderberg & Partners, my supervisor Peng Zhou at
Söderberg & Partners, my supervisor Jonas Hallgren and examiner Filip
Lindskog at KTH Royal Institute of Technology for their support and guid-
ance during the course of this interesting project.
Stockholm, May 2015
Gilberto Batres-Estrada
iv
Contents
1 Introduction 1
1.1 Background . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2 Literature Survey . . . . . . . . . . . . . . . . . . . . . . . . . 2
2 Neural Networks 5
2.1 Single Layer Neural Network . . . . . . . . . . . . . . . . . . 6
2.1.1 Artificial Neurons . . . . . . . . . . . . . . . . . . . . . 6
2.1.2 Activation Function . . . . . . . . . . . . . . . . . . . 7
2.1.3 Single-Layer Feedforward Networks . . . . . . . . . . . 11
2.1.4 The Perceptron . . . . . . . . . . . . . . . . . . . . . . 12
2.1.5 The Perceptron As a Classifier . . . . . . . . . . . . . 12
2.2 Multilayer Neural Networks . . . . . . . . . . . . . . . . . . . 15
2.2.1 The Multilayer Perceptron . . . . . . . . . . . . . . . . 15
2.2.2 Function Approximation with MLP . . . . . . . . . . . 16
2.2.3 Regression and Classification . . . . . . . . . . . . . . 17
2.2.4 Deep Architectures . . . . . . . . . . . . . . . . . . . . 18
2.3 Deep Belief Networks . . . . . . . . . . . . . . . . . . . . . . . 22
2.3.1 Boltzmann Machines . . . . . . . . . . . . . . . . . . . 22
2.3.2 Restricted Boltzmann Machines . . . . . . . . . . . . . 24
2.3.3 Deep Belief Networks . . . . . . . . . . . . . . . . . . . 25
2.3.4 Model for Financial Application . . . . . . . . . . . . . 27
3 Training Neural Networks 31
3.1 Back-Propagation Algorithm . . . . . . . . . . . . . . . . . . 31
3.1.1 Steepest Descent . . . . . . . . . . . . . . . . . . . . . 31
3.1.2 The Delta Rule . . . . . . . . . . . . . . . . . . . . . . 32
Case 1 Output Layer . . . . . . . . . . . . . . . . . . . 33
Case 2 Hidden Layer . . . . . . . . . . . . . . . . . . . 33
Summary . . . . . . . . . . . . . . . . . . . . . . . . . 33
3.1.3 Forward and Backward Phase . . . . . . . . . . . . . . 34
Forward Phase . . . . . . . . . . . . . . . . . . . . . . 34
Backward Phase . . . . . . . . . . . . . . . . . . . . . 34
3.1.4 Computation of δ for Known Activation Functions . . 35
v
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