Generating Trading Signals by ML algorithms or time series ones?

Omid Safarzadeh

Papers from arXiv.org

Abstract: This research investigates efficiency on-line learning Algorithms to generate trading signals.I employed technical indicators based on high frequency stock prices and generated trading signals through ensemble of Random Forests. Similarly, Kalman Filter was used for signaling trading positions. Comparing Time Series methods with Machine Learning methods, results spurious of Kalman Filter to Random Forests in case of on-line learning predictions of stock prices

Date: 2020-07
New Economics Papers: this item is included in nep-big, nep-cmp and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2007.11098

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