Analysis and Prediction of Patterns in Futures Trading Datasets Using LSTM


  • Beom-Jin Park University of Manitoba
  • Christopher Chmelyk
  • Daniel Heslop
  • Gu Zhengyu



One of the most promising tools in recent years for the analysis and prediction of time series data, which includes financial market data has been the use of neural networks. To ensure the accuracy of the outcomes of these systems, it is critical to overcome the vanishing gradient and exploding gradient problems that often occur when recurrent neural networks (RNN) process data. Long Short-Term Memory (LSTM) has been shown to provide good performance when dealing with time series datasets. This paper will explore the feasibility of using an RNN with LSTM as a predictive tool for use with futures trading data. Using a dataset comprised of all futures trading occurring on the Bourse de Montréal (TMX) during a 9-month period from January to September 2015, we assessed the predictive effectiveness of an RNN in predicting the price of front-end contracts for the futures symbol BAX. We found that while an RNN provided a degree of short-term predictive capability, this capability did not extend beyond a couple of days. Although it failed as a trading instrument to predict futures prices, the RNN could detect, identify, and reflect underlying trends in the data, indicating the tool may hold promise in the detection of trading patterns. 

Author Biography

Beom-Jin Park, University of Manitoba

Computer Science 4th year