Using machine learning for medium frequency derivative portfolio trading

Abhijit Sharang; Chetan Rao

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arXiv · 1512.06228

Using machine learning for medium frequency derivative portfolio trading

Abhijit Sharang·Chetan Rao

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Abstract

We use machine learning for designing a medium frequency trading strategy for a portfolio of 5 year and 10 year US Treasury note futures. We formulate this as a classification problem where we predict the weekly direction of movement of the portfolio using features extracted from a deep belief network trained on technical indicators of the portfolio constituents. The experimentation shows that the resulting pipeline is effective in making a profitable trade.

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q-fin.TR cs.LG stat.ML

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Abhijit Sharang, Chetan Rao. 2015-12-19. Using machine learning for medium frequency derivative portfolio trading. https://arxiv.org/abs/1512.06228

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