High‐frequency trading and financial time‐series prediction with spiking neural networks
Author(s)
Gao, Kang
Luk, Wayne
Weston, Stephen
Type
Journal Article
Abstract
A novel new method is introduced - “unsupervised spike learning” - which predicts spikes in price time series instead of price movement and direction. Three rewarding high-frequency trading strategies are developed and backtested by Kang Gao, Wayne Luk, and Stephen Weston.
Date Issued
2021-05
Date Acceptance
2021-04-19
Citation
Wilmott, 2021, 2021 (113), pp.18-33
ISSN
1540-6962
Publisher
Wiley
Start Page
18
End Page
33
Journal / Book Title
Wilmott
Volume
2021
Issue
113
Copyright Statement
© 2021 The Author(s). This is the accepted version of the following article: Gao, K., Luk, W. and Weston, S. (2021), High-Frequency Trading and Financial Time-Series Prediction with Spiking Neural Networks. Wilmott, 2021: 18-33, which has been published in final form at https://doi.org/10.1002/wilm.10927
Identifier
https://onlinelibrary.wiley.com/doi/10.1002/wilm.10927
Publication Status
Published
Date Publish Online
2021-05-27