图 书 馆
极限订单上的多内核学习Multiple Kernel Learning on the Limit Order Book |
|
| 课程网址: | http://videolectures.net/wapa2010_fletcher_mkll/ |
| 主讲教师: | Tristan Fletcher |
| 开课单位: | 伦敦大学学院 |
| 开课时间: | 2010-09-20 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | Simple features constructed from order book data for the EURUSD currency pair were used to construct a set of kernels. These kernels were used both individually and simultaneously through the Multiple Kernel Learning (MKL) methods of SimpleMKL and the more novel LPBoostMKL to train multiclass Support Vector Machines to predict the direction of future price movements. The kernel methods outperformed a trend following benchmark both in their predictive ability and when used in a simple trading rule. Furthermore, the kernel weightings selected by the MKL techniques highlight which features of the EURUSD order book are the most informative for predictive tasks. |
| 关 键 词: | 计算机科学; 机器学习; 核方法; 多核学习 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2021-02-04：nkq |
| 阅读次数: | 45 |