4 ms·
intraday NN is irrelevant because NN are prone to overlearning, so the stuff becomes even more horrible - actually in reality you don't care which way it moves,
by Create 17y ago
intraday NN is irrelevant because NN are prone to overlearning, so the stuff becomes even more horrible - actually in reality you don't care which way it moves, as long as it moves: this is why the "big fish". It is like owning the place in Vegas: you don't care about the bets (much less about their substance or "direction"), as long as there are bets.
if you really want intraday, think about news.google.com and http://rs2007.limsi.fr/index.php/TLP:Page_12 http://rs2007.limsi.fr/index.php/TLP:Page_12 to automatically tweak the few k base parameters (SVM, associative memory etc).
http://www.bbc.co.uk/science/horizon/1999/midas.shtml http://www.bbc.co.uk/science/horizon/1999/midas.shtml
Options, Futures and Other Derivatives, J. C. Hull, Prentice Hall Int’l
Financial Calculus, M. Baxter and A. Rennie, Cambridge University Press
but the ML part is almost irrelevant: it is not the lever in the leverage (think CDO trade).
- bravura 17y agointraday NN is irrelevant because NN are prone to overlearning I call bullshit. A lot of the most successful applications in machine learning are modeled using neural networks. To regularize a neural network, you use standard machinery that controls the capacity of the machine. The scale of the weights cannot be too large (this is a famous result from IIRC Haussler in 1992) so penalize the weights using an l2 (Gaussian) prior. This reduces the model complexity and the potential for overfitting.