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
| Â | 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 |