Attempt to replicate: A deep learning framework for financial time series using stacked autoencoders and long- short term memory
The original article can be found here: http://journals.plos.org/plosone/article/file?id=10.1371/journal.pone.0180944&type=printable
I use the S&P data file provided by the authors here: https://figshare.com/s/acdfb4918c0695405e33
My attempts haven't been succesful so far. Given the very limited comments regarding implementation in the article, it may be the case that I am missing something important, however the results seem too good to be true, so my assuption is that the authors have a bug in their own implementation. I would of course be happy to be proven wrong about this statement ;-)
To run the code:
python run_training.py
This assumes that you have all the packages installed, which I am too lazy to list - python will tell you..