Télécom SudParis
Internship – Financial Forecasting With Deep Learning
Julien Romero – julien.romero@telecom-sudparis.eu
# Description
In this internship, we propose to study the problem of financial forecasting, i.e., predicting the future
variation of the price of a financial instrument, using deep learning. The student will work on a new
data source with a finer granularity than existing datasets. Because of the difficulty of obtaining
data, previous works focused on price prediction at the scale of a day, a week, or a month. Our
new dataset contains intraday information. Therefore, we can predict the price within a day and
use multi-scale analysis. Besides, our new dataset contains different kinds of financial instruments
(FOREX, crypto, options, futures) and additional information about the companies (description,
financial reports, dividends).
# Planning
In previous work, we studied the limitations of the current financial forecasting models. We con-
cluded that there is a problem with the current training objectives and evaluation metrics. In the
first part of this internship, the student will have to study our previous results and the tools we
developed. Then, they will explore the existing metrics that can be used to train a model and
eventually propose new metrics that can tackle the particular challenges.
This internship aims to publish results at a top conference.
# Prerequisites
The intern should be involved in a master’s program and have a good knowledge of machine learning,
deep learning, and data processing. A good understanding of Python and the standard libraries used
in data science (scikit-learn, PyTorch, pandas) is also expected. A previous experience with finance
is appreciated but not required for this internship.
# Work Environment
The internship will take place at Telecom SudParis, in Palaiseau. The intern will join the computer
science department. The internship is paid and will last six months.
If you are interested, please send me your resume, a transcript of your grades, and a cover letter
(in French or English).