24. seminarium QFRG i DSLab online [7.11.2022]
Serdecznie zapraszamy do wzięcia udziału w 24. seminarium organizowanym przez QFRG (Quantitative Finance Research Group) i DSLab (Data Science Lab).
Podczas spotkania Illia Baranochnikov, student programu magiserskiego Quantitative Finance na WNE UW oraz dr hab. Robert Ślepaczuk, Kierownik Katedry Finansów Ilościowych przedstawią wyniki badania „A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy”.
Opis badania:
The aim of this work is to build a profitable algorithmic investment strategy on various types of assets. The algorithm is built using recurrent neural networks (LSTM and GRU) as the primary source of signals to buy/sell financial instruments. LSTM and GRU architectures are compared in terms of obtaining the best results and beating the market. The algorithm is tested for four financial instruments (Bitcoin, Tesla, Brent Oil and Gold) on daily and hourly data frequencies. The out-of-sample period is from 1 January 2021 to 1 April 2022. A walk-forward process is responsible for training models and selecting the best model to forecast asset prices in the future. Ten model architectures with various hyperparameters are trained during each step of the walk-forward process. The model architecture with the highest Information Ratio (IR*) in the validation period is used for forecasting in the out-of-sample period. For each strategy, the performance metrics are calculated based on which the profitability of the algorithm is evaluated. At the end, a detailed sensitivity analysis with regards to the main hyperparameters is conducted. The results reveal that LSTM outperforms GRU in most of the cases and that investment strategy built based on LSTM/GRU architecture is able to beat the market only on 50% of tested cases.
Spotkanie odbędzie się 7 listopada 2022 r. o godz. 18:30 za pośrednictwem platformy Zoom i będzie prowadzone w języku angielskim.
Link do spotkania: https://bit.ly/qfrg-dslab-seminar
Meeting ID: 982 2842 8808
Passcode: 636564
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Prosimy o zalogowanie się najpóźniej o godzinie 18:20. Prezentacja przewidziana jest na około 45 minut, następnie odbędzie się dyskusja.
Dołączenie do spotkania oznacza zgodę na nagrywanie. Prosimy o wyłączenie kamer i mikrofonów podczas prezentacji oraz przesyłanie pytań do prelegenta na czacie.
