"It Looks All the Same to Me": Cross-index Training for Long-term Financial Series Prediction
Stanislav Selitskiy
我们研究了一些人工神经网络架构(众所周知的、更“异国情调”)应用于不同全球市场指数的长期财务时间序列预测。 这项研究特别感兴趣的领域是研究这些索引在机器学习算法交叉训练方面的行为的相关性。 当将这种模型应用于预测来自不同市场的指数时,从一个全球市场对指数进行训练是否会产生类似甚至更好的准确性? 对这个问题的证明主要是肯定的回答是支持尤金·法马(Eugene Fama)长期争论的高效市场假说的另一个论点。
We investigate a number of Artificial Neural Network architectures (well-known and more "exotic") in application to the long-term financial time-series forecasts of indexes on different global markets. The particular area of interest of this research is to examine the correlation of these indexes' behaviour in terms of Machine Learning algorithms cross-training. Would training an algorithm on an index from one global market produce similar or even better accuracy when such a model is applied for...