Short-Term Forecasting of Financial Time Series with Deep Neural Networks

In this work, a high-frequency strategy using Deep Neural Networks (DNNs) is presented. The input information to the DNN consists of: (i). Current time (hour and minute); (ii). the last n one-minute pseudo-returns, where n is the sliding window size parameter; (iii). the last n one-minute standard d...

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Autores:
Arévalo Murillo, Andrés Ricardo
Tipo de recurso:
Fecha de publicación:
2016
Institución:
Universidad Nacional de Colombia
Repositorio:
Universidad Nacional de Colombia
Idioma:
spa
OAI Identifier:
oai:repositorio.unal.edu.co:unal/58015
Acceso en línea:
https://repositorio.unal.edu.co/handle/unal/58015
http://bdigital.unal.edu.co/54538/
Palabra clave:
0 Generalidades / Computer science, information and general works
Short-term Forecasting
High-frequency Trading
Computational Finance
Deep Neural Networks
Rights
openAccess
License
Atribución-NoComercial 4.0 Internacional