VLSTM: Very Long Short-Term Memory Networks for High-Frequency Trading

Understand

Financial trading is at the forefront of time-series analysis, and has grown hand-in-hand with it.

• The advent of electronic trading has allowed complex machine learning solutions to enter the field of financial trading.
• Financial markets have both long term and short term signals and thus a good predictive model in financial trading should be able to incorporate them together.
• One of the most sought after forms of electronic trading is high-frequency trading (HFT), typically known for microsecond sensitive changes, which results in a tremendous amount of data.