This is a summary of links featured on Quantocracy on Monday, 05/30/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Survey of Deep Learning Techniques Applied to Trading [Greg Harris]Deep learning has been getting a lot of attention lately with breakthroughs in image classification and speech recognition. However, its application to finance doesn't yet seem to be commonplace. This survey covers what I've found so far that is relevant to systematic trading. Please tell me if you know of some research I've missed. Acronyms: DBN = Deep Belief Network LSTM = Long
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Build Technical Indicators in Python [Quant Insti]Technical Indicator is essentially a mathematical representation based on data sets such as price (high, low, open, close, etc.) or volume of a security to forecast price trends. There are several kinds of technical indicators that are used to analyse and detect the direction of movement of the price. Traders use them to study the short-term price movement, since they do not prove very useful for
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A Long Term Look At Memorial Week Seasonality [Quantifiable Edges]The week of Memorial Day has shown some interesting seasonal tendencies over the years. And for a long time it exhibited consistent bullishness. But it has faltered greatly the last several years. The chart below examines SPX performance from the Friday before Memorial Day to the Friday after it. 2016-05-30 image1 There was no substantial edge apparent throughout the 70s, but starting in 1983