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Hierarchical Temporal Memory-based algorithmic trading of financial markets
University of Borås, School of Business and IT. (CSL@BS)
University of Borås, School of Business and IT. (CSL@BS)
University of Borås, School of Business and IT. (CSL@BS)
2012 (English)Conference paper, Published paper (Refereed)
Abstract [en]

This paper explores the possibility of using the Hierarchical Temporal Memory (HTM) machine learning technology to create a profitable software agent for trading financial markets. Technical indicators, derived from intraday tick data for the E-mini S&P 500 futures market (ES), were used as features vectors to the HTM models. All models were configured as binary classifiers, using a simple buy-and-hold trading strategy, and followed a supervised training scheme. The data set was divided into a training set, a validation set and three test sets; bearish, bullish and horizontal. The best performing model on the validation set was tested on the three test sets. Artificial Neural Networks (ANNs) were subjected to the same data sets in order to benchmark HTM performance. The results suggest that the HTM technology can be used together with a feature vector of technical indicators to create a profitable trading algorithm for financial markets. Results also suggest that HTM performance is, at the very least, comparable to commonly applied neural network models.

Place, publisher, year, edition, pages
IEEE , 2012.
Keyword [en]
Machine learning, Data mining, Algorithmic trading
National Category
Computer Science Computer and Information Science
Research subject
Bussiness and IT
Identifiers
URN: urn:nbn:se:hb:diva-6846DOI: 10.1109/CIFEr.2012.6327784ISI: 000310365100022Local ID: 2320/11579ISBN: 978-1-4673-1802-0 (print)OAI: oai:DiVA.org:hb-6846DiVA: diva2:887553
Conference
Computational Intelligence for Financial Engineering & Economics (CIFEr), New York, NY, 2012
Available from: 2015-12-22 Created: 2015-12-22 Last updated: 2017-05-02

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Gabrielsson, PatrickKönig, RikardJohansson, Ulf
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CiteExportLink to record
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Citation style
  • apa
  • ieee
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Language
  • de-DE
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  • nn-NB
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  • Other locale
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Output format
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