Seminarium online “Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index” [05.12.2022]
Podczas spotkania Katarzyna Kryńska, studentka programu Data Science and Business Analytics WNE UW i dr hab. Robert Ślepaczuk Kierownik Katedry Finansów Ilościowych naszego Wydziału zaprezentują wyniki badania “Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index”.
Streszczenie wystąpienia:
This thesis investigates the use of various architectures of the LSTM model in algorithmic investment strategies. LSTM models are used to generate buy/sell signals, with previous levels of Bitcoin price and the S&P 500 Index value as inputs. Four approaches are tested: two are regression problems (price level prediction) and the other two are classification problems (prediction of price direction). All approaches are applied to daily, hourly, and 15-minute data and are using a walk-forward optimization procedure. The out-of-sample period for the S&P 500 Index is from February 6, 2014 to November 27, 2020, and for Bitcoin it is from January 15, 2014 to December 1, 2020. We discover that classification techniques beat regression methods on average, but we cannot determine if intra-day models outperform inter-day models. We come to the conclusion that the ensembling of models does not always have a positive impact on performance. Finally, a sensitivity analysis is performed to determine how changes in the main hyperparameters of the LSTM model affect strategy performance.
Seminarium odbędzie się 5 grudnia 2022 r. o godz. 18:30 za pośrednictwem platformy Zoom i będzie prowadzone w języku angielskim.
Meeting ID: 982 2842 8808, passcode: 636564, the direct link: https://bit.ly/qfrg-dslab-seminar
Prosimy o zalogowanie się najpóźniej o godz. 18:20, prezentacja rozpocznie się o godz. 18:30.
Udział w spotkaniu oznacza zgodę na nagrywanie. Prosimy o wyłącznie kamer i mikrofonów podczas prezentacji oraz przesyłanie pytań do osób prowadzących na czacie.
