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تسجيل مستخدم جديدVLSTM: Very Long Short-Term Memory Networks for High-Frequency Trading
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Financial trading is at the forefront of time-series analysis, and has grown hand-in-hand with it. The advent of electronic trading has allowed complex machine learning solutions to enter the field of financial trading. Financial markets have both long term and short term signals and thus a good predictive model in financial trading should be able to incorporate them together. One of the most sought after forms of electronic trading is high-frequency trading (HFT), typically known for microsecond sensitive changes, which results in a tremendous amount of data. LSTMs are one of the most capable variants of the RNN family that can handle long-term dependencies, but even they are not equipped to handle such long sequences of the order of thousands of data points like in HFT. We propose very-long short term memory networks, or VLSTMs, to deal with such extreme length sequences. We explore the importance of VLSTMs in the context of HFT. We compare our model on publicly available dataset and got a 3.14% increase in F1-score over the existing state-of-the-art time-series forecasting models. We also show that our model has great parallelization potential, which is essential for practical purposes when trading on such markets.
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