Implementing Machine Learning for Finance: A Systematic Approach to Predictive Risk and Performance Analysis for Investment Portfolios

© The Author(s), under exclusive license to APress Media, LLC, part of Springer Nature 2021

T. C. NokeriImplementing Machine Learning for Financehttps://doi.org/10.1007/978-1-4842-7110-0_3

3. Univariate Time Series Using Recurrent Neural Nets

Tshepo Chris Nokeri¹  

(1)

Pretoria, South Africa

 

This chapter covers the basics of deep learning. First, it introduces the activation function, the loss function, and artificial neural network optimizers. Second, it discusses the sequence data problem and how a recurrent neural network (RNN) solves it. Third, the chapter presents a way of designing, developing, and testing the most popular RNN, which is the long short-term memory (LSTM) model. We use the Keras framework for rapid prototyping and building neural ...