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Machine Learning for Algorithmic Trading (Session 1)

by Sloan Research Computing

Seminar

Tue, 22 Aug 2017

9:00 AM – 10:00 AM

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Description

In this webinar we will use regression and machine learning techniques in MATLAB to train and test an algorithmic trading strategy on a liquid currency pair. Using real life data, we will explore how to manage time-stamped data, create a series of derived features, then build predictive models for short term FX returns.

We will then show how to backtest this strategy historically, while taking into account trading costs in the strategy and the machine learning modelling process.

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Sloan Research Computing

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