Using machine learning for medium frequency derivative portfolio trading
نویسندگان
چکیده
We use machine learning for designing a medium frequency trading strategy for a portfolio of 5 year and 10 year US Treasury note futures. We formulate this as a classification problem where we predict the weekly direction of movement of the portfolio using features extracted from a deep belief network trained on technical indicators of the portfolio constituents. The experimentation shows that the resulting pipeline is effective in making a profitable trade.
منابع مشابه
Supervised classification-based stock prediction and portfolio optimization
As the number of publicly traded companies as well as the amount of their financial data grows rapidly and improvements in hardware infrastructure and information processing technologies enable high-speed processing of large amounts of data, it is highly desired to have tracking, analysis, and eventually stock selections automated. Machine learning has already attained an important place in tra...
متن کاملPortfolio Management Using Artificial Trading Systems Based on Technical Analysis
Evolutionary algorithms consist of several heuristics able to solve optimization tasks by imitating some aspects of natural evolution. In the field of computational finance, this type of procedures, combined with neural networks, swarm intelligence, fuzzy systems and machine learning has been successfully applied to a variety of problems, such as the prediction of stock price movements and the ...
متن کاملA Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem
Financial portfolio management is the process of constant redistribution of a fund into different financial products. This paper presents a financial-model-free Reinforcement Learning framework to provide a deep machine learning solution to the portfolio management problem. The framework consists of the Ensemble of Identical Independent Evaluators (EIIE) topology, a Portfolio-Vector Memory (PVM...
متن کاملPerformance Functions and Reinforcement Learning for Trading Systems and Portfolios
We propose to train trading systems and portfolios by optimizing objective functions that directly measure trading and investment performance. Rather than basing a trading system on forecasts or training via a supervised learning algorithm using labelled trading data, we train our systems using recurrent reinforcement learning (RRL) algorithms. The performance functions that we consider for rei...
متن کاملArbitrage pricing theory-based Gaussian temporal factor analysis for adaptive portfolio management
Ever since the inception of Markowitz’s modern portfolio theory, static portfolio optimization techniques were gradually phased out by dynamic portfolio management due to the growth of popularity in automated trading. In view of the intensive computational needs, it is common to use machine learning approaches on Sharpe ratio maximization for implementing dynamic portfolio optimization. In the ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- CoRR
دوره abs/1512.06228 شماره
صفحات -
تاریخ انتشار 2015