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Progressive F Sharp

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Machine Learning presentation given at Progressive FSharp in London.

Machine Learning presentation given at Progressive FSharp in London.

Published in Technology
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Transcript

  • 1. Machine Learning Social @tsunamiide tsunami.io Earthquake Enterprises
  • 2.  Creator of Tsunami  (F# IDE)  Big Data / Machine Learning Applied Researcher Business Intelligence Process Engineering  Contact    Skype (moloneymb)  Email (moloneymb@gmail.com)  Twitter (moloneymb) Social @tsunamiide tsunami.io Earthquake Enterprises
  • 3.  Deep Belief Nets  Geoffrey Hinton  Layered Neural Networks Social @tsunamiide tsunami.io Earthquake Enterprises
  • 4.  Built out of Restricted Boltzmann Machines  GPGPU  Train one layer at a time  Unsupervised Data  More data better results Social @tsunamiide tsunami.io Earthquake Enterprises
  • 5.     Kaggle winners Facebook Google Microsoft Social @tsunamiide tsunami.io Earthquake Enterprises
  • 6. Social @tsunamiide tsunami.io Earthquake Enterprises
  • 7.  Error Measurement  Lots of different ways of measuring error  Just needs to go down  Generally tapers off  Lack of taper means  Poor features  Poor hyper parameters Social @tsunamiide tsunami.io Earthquake Enterprises
  • 8. Reconstructed Digits Middle Layer Input Data Social @tsunamiide tsunami.io Earthquake Enterprises
  • 9. Social @tsunamiide tsunami.io Earthquake Enterprises
  • 10.  Practice Feature Engineering  Lots of noise  USD trade history  Hard to find signal  Incredibly small  Time Series Forecasting improvements yield large returns  Social @tsunamiide tsunami.io Dataset is quite large Earthquake Enterprises
  • 11.  Goal  Predict price movement one hour ahead  Start with Ƀ1  Option to buy or sell once per hour Social @tsunamiide tsunami.io Earthquake Enterprises
  • 12.  Technical Trading Rules ▪ ▪ ▪ ▪ ▪ ▪ ▪ ▪ ▪ ▪ ▪ Social ATR – Average True Range (volatility indicator) SMI – Stochastic Momentum Index (momentum) ADX – Welles Wilder’s Directional Movement Index Aroon indicator – that tries to identify starting trends Bollinger Bands – volatility over a period of time Chaikin Volatility CLV - Close Location Value EVM - Arms’ Ease of Movement Value MACD oscillator MFI - Money Flow Index Parabolic Stop-and-Reverse @tsunamiide tsunami.io Earthquake Enterprises