Machine learning in trading: theory, models, practice and algo-trading - page 1714
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Even without digitizing fund.data, besides price there are volumes, open interest, price levels and volumes, time parameters - session, season, etc... News, I think, is already digitized...
Try to systematize the digitization and logic of accounting these data. I don't get it right off the bat) From what's in the numbers, stock indexes, gross income, Central Bank rate in the country, projected gross numbers, agency estimates, credit ratings, industry numbers, trade turnover between countries... And how do you use that? Technicalanalysis is a separate song... from fundamental analysis.
That's cool, I'll check it out...
And this is what scientists are already doing ....
Partitioning of series by Principal Component Analysis (PCA)
quotes in a sliding window of size 10
there are 8 components
The algorithm sorts the components into slowly changing and rapidly changing ones, into those that contribute significantly and those that are weak, and sorts them
The strongest property of decomposition (any Fourier, wavelet, pca) is additivity
i.e. if I add all components pc1+pc2+...+pc8 together I get the same price back, this property is called additivity
And now think if we use the same indicators instead of components and add them together, what do we get? Exactly what we get at the output of the neural network when training it on a stochastic)
The indicators can already be used on top of the components - just imagine how many features can be generated by that decomposition
You can filter data, find and extract unnecessary (bad components)
You can change components and put them back or leave only them
You can speed up components, slow them down, or change their amplitude.
You can analyze each component relative to the other, or two or three of them.
You can forecast components separately to sum up in the general forecast (they are additive)
It is possible to forecast one components relative to other components
It is possible...
It is possible...
It is possible...
You can...
You can...
Which is what scientists do when they want to figure something out.
Just a neural network working in the real market as an indicator and predicts the movement of the asset well. In addition, I have one more experimental one trying to provide entry points. Here are the last four signals from the last 10 hours, all signals are public.
Great job!!! What's new?
Try to systematize the digitization and logic of accounting these data. I can't do it right away) From what I have in figures, stock exchange indices, gross income, the Central Bank rate in the country, forecasted gross figures, agency estimates, credit ratings, industry figures, trade turnover between countries... And how do you use that? Technicalanalysis is a separate song... from the fundamental.
Good article on Habra: Do neural networks dream of electric money?
I don't offer to read it, I left the link for myself
The strong property of decomposition (any Fourier, wavelet, pca) is additivity
This is a property of any linear decomposition. If you can't get the signal back, then the decomposition is wrong. Question of logic. Any analog can be decomposed into sine waves. The goal here is probably different. To isolate, separate price movements by criteria of external influences. Then it makes sense. And the possibility of a more meaningful analysis of price behavior and forecast appears.
This is a property of any linear decomposition. If you can't get the signal back, then the decomposition is wrong. Question of logic. Any analog can be decomposed into sine waves. The goal here is probably different. To isolate, separate price movements by criteria of external influences. Then it makes sense. And the possibility of a more meaningful analysis of price behavior and forecast appears.
What does it mean?
Well, to begin with, digitized fundamental data immediately becomes an object of technical analysis.
We have different ideas about technical and fundamental. Fundamental = real data expressed in socially-established criteria. Gasprom's balance sheet is fundamental data. Stock sales and quotes are technical. Not convincing, just explaining as I understand it.
What does it know?
The price movement is determined by many factors, isolate the main factors and tie them to the price change by decomposing it. In fact, this is what is done in the work. As far as I understand, the same types of price changes are distinguished and separated by means of the selection of their decomposition. You can not understand the factors and do not know their essence, but understanding that these factors can be separated and taken into account gives a lot.
Great job!!! What new things have you added?