Generating Trading Signals by ML algorithms or time series ones?
Statistical Finance
2020-07-23 v1 Computational Engineering, Finance, and Science
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
Cite
@article{arxiv.2007.11098,
title = {Generating Trading Signals by ML algorithms or time series ones?},
author = {Omid Safarzadeh},
journal= {arXiv preprint arXiv:2007.11098},
year = {2020}
}
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20 Pages