Model input | Model output | Methodologies and references |
---|---|---|
Daily close prices | Next day’s close price | Autoregressive integrated moving average model (GarcÃa-Martos et al. 2013); Spiking neural networks (Sun et al. 2016); Multilayer perceptron (GarcÃa and Jaramillo-Morán 2020); Gated recurrent unit (Liu and Shen 2020); Feedforward network (Xu and Zhang 2023) |
Low and high prices | Low and high prices, or center and range | MLP, KNN, ARIMA, VAR,VECM, and exponential smoothing (Arroyo et al. 2011); Historically consistent neural network (von Mettenheim and Breitner 2012); A constrained center and range joint model (Hao and Guo 2017) |
Daily OHLC data | Next day’s close price | Legendre neural network (Liu and Wang 2012); Weighted support vector machine (Luo and Chen 2013); Long-short term memory neural network (Qiu et al. 2020); Deep convolutional generative adversarial network (Staffini 2022) |
Indicators based on daily OHLC data | Buy, sell or no-action signal | Piecewise linear representations and artificial neural networks (Chang et al. 2011); Piecewise linear representation and feature weighted support vector machine (Chen and Hao 2020); Support vector machine and heuristic algorithms (Ahmadi et al. 2018; Mahmoodi et al. 2023a, b) |