Suit Khanna, Quant Researcher, Algorithmic Trading, Edelweiss Financial Services
financial market
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Data Processing and Feature Creation
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Input features created based on Price returns of Nifty Futures
- inspired by Taylor expansion
- derivatives of the returns are used as input features
- (future: Order Book/Index Options/broad market features)
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Output: 10 classes
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Model types and Specification
- A Simple RNN(MLP)
- LSTM RNN
- Stateful LSTM RNN
- Bi-directional LSTM RNN
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Strategy Model
- The output of LSTM RNN can be used as input for a trading strategy model
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