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...
- 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