Hands-On Machine Learning for Algorithmic Trading

How to use CNN with time-series data

The regular measurements of time-series result in a similar grid-like data structure, as with the image data we have focused on so far. As a result, we can use CNN architectures for univariate and multivariate time-series. In the latter case, we consider different time series as channels, similar to the different color signals.

We will illustrate the time series use case with the univariate asset price forecast example we introduced in the last chapter. Recall that we create rolling monthly stock returns, and use the 24 lagged returns alongside one-hot-encoded month information to predict whether the subsequent monthly return is positive or negative.

We will design a simple one-layer CNN, which uses one-dimensional ...