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Estrategia de alta frecuencia usando redes profundas PDF Imprimir Correo
Columnistas / Bloggers - A FONDO, por Jaime Niño Peña.
Miércoles, 20 de Julio de 2016 14:06

Hola todos, en este caso quiere compartir el abstract y enlace del trabajo "High-Frequency Trading Strategy Based on Deep Neural Networks", del cual fuí co-autor.


"This paper presents a high-frequency strategy based on Deep Neural Networks (DNNs). The DNN was trained on current time (hour and minute), and n-lagged one-minute pseudo-returns, price standard deviations and trend indicators in order to forecast the next one-minute average price. The DNN predictions are used to build a high-frequency trading strategy that buys (sells) when the next predicted average price is above (below) the last closing price. The data used for training and testing are the AAPL tick-by-tick transactions from September to November of 2008. The best-found DNN has a 66 % of directional accuracy. This strategy yields an 81 % successful trades during testing period."

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