2021 IEEE International Conference on Acoustics, Speech and Signal Processing

6-11 June 2021 • Toronto, Ontario, Canada

Extracting Knowledge from Information

2021 IEEE International Conference on Acoustics, Speech and Signal Processing

6-11 June 2021 • Toronto, Ontario, Canada

Extracting Knowledge from Information
Login Paper Search My Schedule Paper Index Help

My ICASSP 2021 Schedule

Note: Your custom schedule will not be saved unless you create a new account or login to an existing account.
  1. Create a login based on your email (takes less than one minute)
  2. Perform 'Paper Search'
  3. Select papers that you desire to save in your personalized schedule
  4. Click on 'My Schedule' to see the current list of selected papers
  5. Click on 'Printable Version' to create a separate window suitable for printing (the header and menu will appear, but will not actually print)

Paper Detail

Paper IDMLSP-41.6
Paper Title AUGMENTING TRANSFERRED REPRESENTATIONS FOR STOCK CLASSIFICATION
Authors Elizabeth Fons, University of Manchester, United Kingdom; Paula Dawson, AllianceBernstein, United Kingdom; Xiao-jun Zeng, John Keane, University of Manchester, United Kingdom; Alexandros Iosifidis, Aarhus University, Denmark
SessionMLSP-41: Deep Learning Optimization
LocationGather.Town
Session Time:Friday, 11 June, 11:30 - 12:15
Presentation Time:Friday, 11 June, 11:30 - 12:15
Presentation Poster
Topic Machine Learning for Signal Processing: [MLR-TRL] Transfer learning
IEEE Xplore Open Preview  Click here to view in IEEE Xplore
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.