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Social @tsunamiide tsunami.io Earthquake Enterprises
Machine Learning
Social @tsunamiide tsunami.io Earthquake Enterprises
Creator of Tsunami
(F# IDE)
Big Data / Machine Learning
Applied Researcher
Business Intelligence
Process Engineering
Contact Skype (moloneymb)
Email ([email protected])
Twitter (moloneymb)
Social @tsunamiide tsunami.io Earthquake Enterprises
Deep Belief Nets
Geoffrey Hinton
Layered Neural
Networks
Social @tsunamiide tsunami.io Earthquake Enterprises
Built out of Restricted
Boltzmann Machines
GPGPU
Train one layer at a
time
Unsupervised Data
More data better results
Social @tsunamiide tsunami.io Earthquake Enterprises
Kaggle winners
Microsoft
Social @tsunamiide tsunami.io Earthquake Enterprises
Social @tsunamiide tsunami.io Earthquake Enterprises
Error Measurement
Lots of different ways
of measuring error
Just needs to go down
Generally tapers off
Lack of taper means
Poor features
Poor hyper parameters
Social @tsunamiide tsunami.io Earthquake Enterprises
Reconstructed Digits
Input Data
Middle Layer
Social @tsunamiide tsunami.io Earthquake Enterprises
Social @tsunamiide tsunami.io Earthquake Enterprises
USD trade history
Time Series
Forecasting
Practice Feature
Engineering
Lots of noise
Hard to find signal
Incredibly small
improvements yield
large returns
Dataset is quite large
Social @tsunamiide tsunami.io Earthquake Enterprises
Goal
Predict price
movement one hour
ahead
Start with Ƀ1
Option to buy or sell
once per hour
Social @tsunamiide tsunami.io Earthquake Enterprises
Technical Trading Rules
▪ ATR – Average True Range (volatility indicator)
▪ SMI – Stochastic Momentum Index (momentum)
▪ ADX – Welles Wilder’s Directional Movement Index
▪ Aroon indicator – that tries to identify starting trends
▪ Bollinger Bands – volatility over a period of time
▪ Chaikin Volatility
▪ CLV - Close Location Value
▪ EVM - Arms’ Ease of Movement Value
▪ MACD oscillator
▪ MFI - Money Flow Index
▪ Parabolic Stop-and-Reverse