Augmenting transferred representations for stock classification

Elizabeth Fons, Paula Dawson, Xiao-jun Zeng, John Keane and Alexandros Iosifidis

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Abstract: Stock classification is a challenging task due to high levels of noise and volatility of stocks returns. In this paper we show that using transfer learning can help with this task, by pre-training a model to extract universal features on the full universe of stocks of the S$\&$P500 index and then transferring it to another model to directly learn a trading rule. Transferred models present more than double the risk-adjusted returns than their counterparts trained from zero. In addition, we propose the use of data augmentation on the feature space defined as the output of a pre-trained model (i.e. augmenting the aggregated time-series representation). We compare this augmentation approach with the standard one, i.e. augmenting the time-series in the input space. We show that augmentation methods on the feature space leads to $20\%$ increase in risk-adjusted return compared to a model trained with transfer learning but without augmentation.

Date: 2020-10
New Economics Papers: this item is included in nep-cmp and nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2011.04545

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