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Evaluation of Hierarchical Temporal Memory in algorithmic trading
2010 (English)Independent thesis Advanced level (professional degree), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis looks into how one could use Hierarchal Temporal Memory (HTM) networks to generate models that could be used as trading algorithms. The thesis begins with a brief introduction to algorithmic trading and commonly used concepts when developing trading algorithms. The thesis then proceeds to explain what an HTM is and how it works. To explore whether an HTM could be used to generate models that could be used as trading algorithms, the thesis conducts a series of experiments. The goal of the experiments is to iteratively optimize the settings for an HTM and try to generate a model that when used as a trading algorithm would have more profitable trades than losing trades. The setup of the experiments is to train an HTM to predict if it is a good time to buy some shares in a security and hold them for a fixed time before selling them again. A fair amount of the models generated during the experiments was profitable on data the model have never seen before, therefore the author concludes that it is possible to train an HTM so it can be used as a profitable trading algorithm.

Place, publisher, year, pages
2010. 32 p.
Keyword [en]
Hierarchical Temporal Memory, Algorithmic Trading
National Category
Computer Science
Identifiers
urn:nbn:se:liu:diva-54235 (URN)LIU-IDA/LITH-EX-G--10/005--SE (ISRN)oai:DiVA.org:liu-54235 (OAI)diva2:302092 (DiVA)
Presentation
(English)
Uppsok
Technology
Supervisors
Examiners
Available from2010-03-04 Created:2010-03-04 Last updated:2010-03-30Bibliographically approved

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Åslin, Fredrik
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Department of Computer and Information Science
Computer Science

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