Fischer, Thomas; Krauss, Christopher - 2017
Long short-term memory (LSTM) networks are a state-of-the-art technique for sequence learning. They are less commonly … applied to financial time series predictions, yet inherently suitable for this domain. We deploy LSTM networks for predicting … 0.46 percent and a Sharpe Ratio of 5.8 prior to transaction costs, we find LSTM networks to outperform memory …