Using machine learning for medium frequency derivative portfolio trading

Abhijit Sharang and Chetan Rao

Papers from arXiv.org

Abstract: 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.

Date: 2015-12
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1512.06228

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