Algorithmic Trading of Futures via Machine Learning
نویسنده
چکیده
A lgorithmic trading of securities has become a staple of modern approaches to financial investment. In this project, I attempt to obtain an effective strategy for trading a collection of 27 financial futures based solely on their past trading data. All of the strategies that I consider are based on predictions of the future price and volatility of the various securities under consideration, and so the majority of the effort in this project has been directed toward using machine learning techniques to obtain predictions for future price and volatility. This project was inspired by the Quantiacs futures competition, to which I submitted a number of the trading strategies I obtained during my work on this project.
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