Skip to main content

Table 2 A summary of the input variables of our reviewed articles in F&B domains

From: Deep learning in finance and banking: A literature review and classification

  Publication Input variable
Exchange rate prediction Shen et al. (2015) Daily Exchange rate
Zheng et al. (2017) Daily Exchange rate
Ravi et al. (2017) Daily Exchange rate
Galeshchuk and Mukherjee (2017) Daily Exchange rate
Stock market prediction Matsubara et al. (2018) Technical index, specific events (corporate buyouts, product releases)
Chen et al. (2018b) 1-min transaction data
Chong et al. (2017) Daily and five-minute return
Yan and Ouyang (2017) Volume, technical index, Price (Open, Close, High, Low, Volume)
Kim and Won (2018) GARCH, EGARCH, KOSPI 200 Index, gold price, CB interest rate, KTB interest rate, KOSPI200 index log difference
Singh and Srivastava (2017) Technical index, Price (Open, Close, Low, Close)
Dingli and Fournier (2017) Daily data, weekly data, monthly data
Gunduz et al. (2017) Technical indicators, price and temporal information, Chi-square feature selection
Hernandez and Abad (2018) Daily data
Sohangir et al. (2018) Message ID, a user ID, the author’s number of followers, a timestamp, the current price of the stock, and other record-keeping attributes
Krausa and Feuerriegel (2017) Financial news, stock market data
Minh et al. (2017) Financial news, daily stock price
Stock trading Sezer et al. (2017) Close/high price,technical index (RSI, SMA)
Chen et al. (2017) Technical indicators
Deng et al. (2017) Minute-level close prices, daily price
Fischer and Krauss (2017) Daily price
Bao et al. (2017) Daily trading data (open/close/high/low, trading volume), technical indicator, macroeconomic variable (exchange rate,interest rate)
Martinez-Miranda et al. (2016) Daily data
Feuerriegel and Prendinger (2016) Financial news
Chakraborty (2019) Sum of discounted reward, stochastic data
Zhang and Maringer (2015) Daily data of 180 SandP stocks, positive volume index and negative volume index, exponential MA, relative strength index, cash flow (P–CF), price to earnings (P–E), debt to equity market (D–M), Conditional volatility (CVOL) (GARCH model to retrieve the conditional volatility)
Price prediction Sehgal and Pandey (2015) Daily price
Portfolio management Song et al. (2017) Financial news, sentiment shock score, sentiment trend score, price, (positive, negative and objective), relevance
Almahdi and Yang (2017) Five exchange-traded funds: IWD, IWC, SPY, DEM, CLY
Macroeconomic prediction Sevim et al. (2014) Dependent Variable: Financial Pressure Index (FPI) (includes percentage change in the dollar exchange rate, gross foreign exchange reserves of Central bank, overnight interest rate);
Indepedent Variable: 32 macroeconomic indicators
Banking default risk and credit Rönnqvist and Sarlin (2017) Event non-coinciding, ambiguous data
Han et al. (2018) Defaultable securities, higher interest rates for borrowing than for lending, transaction costs, uncertainties in the model parameters