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Evolving Hierarchical Temporal Memory-Based Trading Models
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)
2013 (English)Conference paper, Published paper (Refereed)
Abstract [en]

We explore the possibility of using the genetic algorithm to optimize trading models based on the Hierarchical Temporal Memory (HTM) machine learning technology. Technical indicators, derived from intraday tick data for the E-mini S&P 500 futures market (ES), were used as feature 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 partitioned into multiple folds to enable a modified cross validation scheme. Artificial Neural Networks (ANNs) were used to benchmark HTM performance. The results show that the genetic algorithm succeeded in finding predictive models with good performance and generalization ability. The HTM models outperformed the neural network models on the chosen data set and both technologies yielded profitable results with above average accuracy.

Place, publisher, year, edition, pages
Springer-Verlag , 2013.
Series
Lecture Notes in Computer Science ; 7835
Keywords [en]
Algorithmic Trading, Hierarchical Temporal Memory, Data mining, Machine Learning
National Category
Computer Sciences Computer and Information Sciences
Identifiers
URN: urn:nbn:se:hb:diva-7056DOI: 10.1007/978-3-642-37192-9_22Local ID: 2320/12921OAI: oai:DiVA.org:hb-7056DiVA, id: diva2:887763
Conference
Applications of Evolutionary Computation
Available from: 2015-12-22 Created: 2015-12-22 Last updated: 2018-01-10

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Gabrielsson, PatrickKönig, RikardJohansson, Ulf

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CiteExportLink to record
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Citation style
  • harvard-cite-them-right
  • apa
  • ieee
  • modern-language-association-8th-edition
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  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf