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Machine learning for financial prediction

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Re: Machine learning for financial prediction

#61

Post by malux85 »

hendzen wrote: post #60

If you can actually reliably generate alpha from a model like this there is no point of running the strategy yourself. There are any number of hedge funds that will sign you on, let you keep all of the IP you develop, and give you 10-12% of any returns you generate. That sounds small, but it's mitigated by the fact that you will have access to potentially billions of dollars in capital to trade if your strategy has t…

Who do I contact? I have a deep learning startup that is trading forex right now, I would like to make some contacts and see if I can integrate

Re: Machine learning for financial prediction

#62

Post by chillacy »

melling wrote: post #30
auntienomen wrote: post #29

Earlier quoted context omitted.

Provided you're the only one trading your strategy, which is unlikely.

There are trading firms that have made fortunes letting the algorithms do the trading: http://www.fool.com/investing/general/2014/02/09/this-man-ma... https://en.m.wikipedia.org/wiki/Renaissance_Technologies Yes, you have to adapt but these guys play with billions.

Ren Tech also has 200+ math and signal processing phds in its payroll. I'm not sure how well the individual trader does (maybe they do okay, but I have my doubts that I'm not going to be consumed by big sharks in the market)

Re: Machine learning for financial prediction

#63

Post by jihoon796 »

xivzgrev wrote: post #23

Anyone know where he got all the raw data to feed his algo? Clearly he used a lot of data and the two main sources of free info i know of are google finance and yahoo finance. At least with google finance i run into issues with their api if you execute too many calls simultaneously, a bunch end up not returning any data

Agreed with Quandl being a good source for financial data. Their APIs are also quite well-maintained. Within Quandl, I've found Zack's to be a good resource.

I work with both Quandl and Zack's pretty frequently, let me know if you're interested in buying large amounts of data from Zack's, and I can perhaps get you a discount from the listed prices on the Quandl website.

Re: Machine learning for financial prediction

#64

Post by chillacy »

dreamdu5t wrote: post #55

There's a hedge fund built by anonymous data scientists - https://numer.ai You can use ML to make money on encrypted stock data for free. Think Kaggle but the winning models are used to trade.

It looks like the feature set is fixed on numer.ai? If so everyone's probably developing mega ensembles (this is what netflix's competition ended up as, with teams merging because their models did better together). Compared to quantopia, where you're responsible for feature engineering too (though numer.ai is probably easier to get started, since model selection is imo the fun part).

Re: Machine learning for financial prediction

#65

Post by auntienomen »

melling wrote: post #30
auntienomen wrote: post #29

Earlier quoted context omitted.

Provided you're the only one trading your strategy, which is unlikely.

There are trading firms that have made fortunes letting the algorithms do the trading: http://www.fool.com/investing/general/2014/02/09/this-man-ma... https://en.m.wikipedia.org/wiki/Renaissance_Technologies Yes, you have to adapt but these guys play with billions.

Yes, everyone's heard of RenTec, particularly those of us in the industry. Their existence doesn't seem seem germane to my point.

You were claiming that a little guy's edge won't be rapidly eroded by the market. This is only true if his trading strategy is uncorrelated to every other little guy's trading strategy. But this is unlikely. The space of unsophisticated strategies is not all that large.

Re: Machine learning for financial prediction

#66

Post by brobinson »

malux85 wrote: post #61
hendzen wrote: post #60

If you can actually reliably generate alpha from a model like this there is no point of running the strategy yourself. There are any number of hedge funds that will sign you on, let you keep all of the IP you develop, and give you 10-12% of any returns you generate. That sounds small, but it's mitigated by the fact that you will have access to potentially billions of dollars in capital to trade if your strategy has t…

Who do I contact? I have a deep learning startup that is trading forex right now, I would like to make some contacts and see if I can integrate

Create a public, real account on myfxbook.com and let them find you. If you contact them directly, you can link them to your myfxbook account to give them an instant view into how your algorithm has performed.

Re: Machine learning for financial prediction

#67

Post by Bromskloss »

branchless wrote: post #37
jzwinck wrote: post #32

Earlier quoted context omitted.

30% on 100k is 30k. You'd be better off getting a regular job unless you can sustain that for more than 10 years. Which you can't predict.

Exactly. Plus let's remember you are adding nothing to life here. All you are doing is collecting 30k off other people with a slightly less optimal "strategy" than you. And no I don't believe these people are "adding liquidity and assisting price discovery". to the reply as I can't post as HN censors detractors of big finance: I don't believe the benefits of liquidity added by HFT are worth the enormous costs firms s…

How about just making a transaction because you feel that you gain something from it? Does it need any other motivation? I mean, I buy food, go to a concert, rent a car, and buy a stock, not for the purpose of gifting something to society, but for my own sake.

Re: Machine learning for financial prediction

#68

Post by wocram »

malux85 wrote: post #61
hendzen wrote: post #60

If you can actually reliably generate alpha from a model like this there is no point of running the strategy yourself. There are any number of hedge funds that will sign you on, let you keep all of the IP you develop, and give you 10-12% of any returns you generate. That sounds small, but it's mitigated by the fact that you will have access to potentially billions of dollars in capital to trade if your strategy has t…

Who do I contact? I have a deep learning startup that is trading forex right now, I would like to make some contacts and see if I can integrate

Why FX? More direct access to exchanges?

Re: Machine learning for financial prediction

#69

Post by ChuckMcM »

I think financial prediction via machine learning will be a useful cruicible for defining AI from non-AI. So far, so many companies that have applied machine learning to prediction have ended up on the wrong side of the order book at the wrong time. I don't know if this is because other algorithms figure out what they are doing and rapidly develop a counter algorithm to fleece them, or if its just savvy traders intuition about what the algorithm is keying on and manipulating it. Sort of like good RTS game players that figure out how the opponent AI is playing and start playing against its programming rather than some strategy from first principles.

Re: Machine learning for financial prediction

#70

Post by joeyo »

mathgenius wrote: post #45

It's just so ridiculously easy to overfit these models, and so so many ways to shoot yourself in the foot as a result. For example, "I split the data set into 5 random segments and then trained a model on 4 of the 5 segments and then tested it on 5th." Such data is serially correlated (it's not good old iid) so already it looks like you have poisoned the test set with information from the training set. The hard part…

Doesn't that cut both ways though? If there are serial correlations in the data then modeling and accounting for the variance explained by those correlations should help with future predictions, no?
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