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Price Returns Prediction Using R

Price Returns Prediction Using R

作者: Shuailong | 来源:发表于2017-04-27 12:11 被阅读47次

    Suit Khanna, Quant Researcher, Algorithmic Trading, Edelweiss Financial Services

    financial market

    • Data Processing and Feature Creation

      • 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)
      • Output: 10 classes

    • Model types and Specification

      • A Simple RNN(MLP)
      • LSTM RNN
      • Stateful LSTM RNN
      • Bi-directional LSTM RNN
    • Strategy Model

      • The output of LSTM RNN can be used as input for a trading strategy model

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