Neural Ordinary Differential Equation Networks for Fintech Applications Using Internet of Things

The Internet-of-Things (IoT) technology is becoming increasingly pivotal in the financial services sector, with a growing number of algorithms being employed in high-frequency trading. High-frequency prediction in financial time series prediction presents a promising avenue of research. From convolutional neural networks to recurrent neural networks, deep learning have demonstrated exceptional capabilities in capturing the nonlinear characteristics of stock markets, thereby achieving high performance in stock index prediction. In this paper, we employ ODE-LSTM model for high-frequency price forecasting, predicting stock price data across various time scales, including 1-minute, 5-minutes, and 30-minutes frequencies. This approach introduces a novel concept, wherein the LSTM (Long Short-Term Memory) model is integrated with Neural ODE (Ordinary Differential Equations) to manage the hidden state and augment model interpretability. Over the course of 7 months, we achieved a 41.79% excess return on a simulated trading platform, with a daily average excess return of 0.30%, showcasing the commendable performance of our model and strategy.