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Machine Learning

Social

@tsunamiide

tsunami.io

Earthquake Enterprises


Creator of Tsunami
 (F# IDE)



Big Data / Machine Learning
Applied Researcher
Business Intelligence
Process Engineer...


Deep Belief Nets
 Geoffrey Hinton



Layered Neural
Networks

Social

@tsunamiide

tsunami.io

Earthquake Enterprises


Built out of Restricted
Boltzmann Machines
 GPGPU



Train one layer at a
time



Unsupervised Data
 More data bett...





Kaggle winners
Facebook
Google
Microsoft

Social

@tsunamiide

tsunami.io

Earthquake Enterprises
Social

@tsunamiide

tsunami.io

Earthquake Enterprises


Error Measurement
 Lots of different ways

of measuring error
 Just needs to go down
 Generally tapers off


Lack o...
Reconstructed Digits

Middle Layer

Input Data

Social

@tsunamiide

tsunami.io

Earthquake Enterprises
Social

@tsunamiide

tsunami.io

Earthquake Enterprises


Practice Feature
Engineering
 Lots of noise



USD trade history

 Hard to find signal
 Incredibly small



Time S...


Goal
 Predict price

movement one hour
ahead


Start with Ƀ1



Option to buy or sell
once per hour

Social

@tsunam...


Technical Trading Rules
▪
▪
▪
▪
▪
▪
▪
▪
▪
▪
▪

Social

ATR – Average True Range (volatility indicator)
SMI – Stochastic...
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Progressive F Sharp

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Machine Learning presentation given at Progressive FSharp in London.

Publicado en: Tecnología
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Progressive F Sharp

  1. 1. Machine Learning Social @tsunamiide tsunami.io Earthquake Enterprises
  2. 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. 3.  Deep Belief Nets  Geoffrey Hinton  Layered Neural Networks Social @tsunamiide tsunami.io Earthquake Enterprises
  4. 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. 5.     Kaggle winners Facebook Google Microsoft Social @tsunamiide tsunami.io Earthquake Enterprises
  6. 6. Social @tsunamiide tsunami.io Earthquake Enterprises
  7. 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. 8. Reconstructed Digits Middle Layer Input Data Social @tsunamiide tsunami.io Earthquake Enterprises
  9. 9. Social @tsunamiide tsunami.io Earthquake Enterprises
  10. 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. 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. 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

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