  Training a practical and effective model for stock selection has been a
greatly concerned problem in the field of artificial intelligence. Even though
some of the models from previous works have achieved good performance in the
U.S. market by using low-frequency data and features, training a suitable model
with high-frequency stock data is still a problem worth exploring. Based on the
high-frequency price data of the past several days, we construct two separate
models-Convolution Neural Network and Long Short-Term Memory-which can predict
the expected return rate of stocks on the current day, and select the stocks
with the highest expected yield at the opening to maximize the total return. In
our CNN model, we propose improvements on the CNNpred model presented by E.
Hoseinzade and S. Haratizadeh in their paper which deals with low-frequency
features. Such improvements enable our CNN model to exploit the convolution
layer's ability to extract high-level factors and avoid excessive loss of
original information at the same time. Our LSTM model utilizes Recurrent Neural
Network'advantages in handling time series data. Despite considerable
transaction fees due to the daily changes of our stock position, annualized net
rate of return is 62.27% for our CNN model, and 50.31% for our LSTM model.
