论文标题

图像编码对金融中的深度学习有益吗?用于在金融中应用卷积神经网络应用的图像编码方法的分析

Is Image Encoding Beneficial for Deep Learning in Finance? An Analysis of Image Encoding Methods for the Application of Convolutional Neural Networks in Finance

论文作者

Wang, Dan, Wang, Tianrui, Florescu, Ionuţ

论文摘要

2012年,SEC要求将所有在美国开展业务的公司申请所有公司文件,并将其纳入电子数据收集,分析和检索(Edgar)系统。在这项工作中,我们正在研究通过Edgar数据库分析可用数据的方法。这可以为投资组合经理(养老基金,共同基金,保险,对冲基金)提供服务,以使自己投资的公司自动见解,以更好地管理其投资组合。该分析基于应用于数据的人工神经网络。}尤其是最受欢迎的机器学习方法之一,最初开发用于解释和分类图像的卷积神经网络(CNN)体系结构正在解释财务数据。这项工作研究了将从SEC文件收集的数据输入到CNN体系结构中的最佳方法。我们将会计原理和数学方法纳入了三种图像编码方法的设计。具体而言,两种方法来自会计原理(顺序排列,类别块布置),一种方法是使用纯粹的数学技术(Hilbert vector Anchement)。在这项工作中,我们分析了来自美国金融,医疗保健及IT领域的基本财务数据以及财务比率数据和研究公司。我们发现,使用成像技术输入CNN的数据可以更好地适用于财务比率数据,但比直接将1D输入直接用于基本数据要好得多。我们没有发现希尔伯特矢量布置技术比其他成像技术要好得多。

In 2012, SEC mandated all corporate filings for any company doing business in US be entered into the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system. In this work we are investigating ways to analyze the data available through EDGAR database. This may serve portfolio managers (pension funds, mutual funds, insurance, hedge funds) to get automated insights into companies they invest in, to better manage their portfolios. The analysis is based on Artificial Neural Networks applied to the data.} In particular, one of the most popular machine learning methods, the Convolutional Neural Network (CNN) architecture, originally developed to interpret and classify images, is now being used to interpret financial data. This work investigates the best way to input data collected from the SEC filings into a CNN architecture. We incorporate accounting principles and mathematical methods into the design of three image encoding methods. Specifically, two methods are derived from accounting principles (Sequential Arrangement, Category Chunk Arrangement) and one is using a purely mathematical technique (Hilbert Vector Arrangement). In this work we analyze fundamental financial data as well as financial ratio data and study companies from the financial, healthcare and IT sectors in the United States. We find that using imaging techniques to input data for CNN works better for financial ratio data but is not significantly better than simply using the 1D input directly for fundamental data. We do not find the Hilbert Vector Arrangement technique to be significantly better than other imaging techniques.

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