Generating Trading Signals by ML algorithms or time series ones?
This research investigates efficiency on-line learning Algorithms to generate trading signals.I employed technical indicators based on high frequency stock prices and generated trading signals through ensemble of Random Forests. Similarly, Kalman Filter was used for signaling trading positions. Comp...
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Zusammenfassung: | This research investigates efficiency on-line learning Algorithms to generate
trading signals.I employed technical indicators based on high frequency stock
prices and generated trading signals through ensemble of Random Forests.
Similarly, Kalman Filter was used for signaling trading positions. Comparing
Time Series methods with Machine Learning methods, results spurious of Kalman
Filter to Random Forests in case of on-line learning predictions of stock
prices |
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DOI: | 10.48550/arxiv.2007.11098 |