xminxx/dl_on_trading_data

Deep learning for stock selection based on price-volume data. (CNN, LSTM in Tensorflow)

Deep Learning for Stock Selection Based on High Frequency Price-Volume Data

This repository contains codes for project paper: Deep Learning for Stock Selection Based on High Frequency Price-Volume Data by Junming Yang, Yaoqi Li, Xuanyu Chen, Jiahang Cao, Kangkang Jiang, Nov.2019

File Descriptions:

• CNN_model/ and LSTM_model/: these folders contain the model framework, model training and predicting of CNN and LSTM respectively
• backtest_framwork/: this folder contains the backtest module we construct and utilize
• data_samples/: this folder contains some sample csv file, minute level of price and volume stock bar data
• data_prepare.py: some data preparation utility functions