We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Reduction of financial tick big data for intraday trading.
- Authors
Milke, Vitaliy; Luca, Cristina; Wilson, George B.
- Abstract
Various neural network architectures are often used to forecast movements in financial markets. Most research in quantitative analytics in finance uses interval financial data as this reduces the raw tick big data, but the averaging can lose key behaviour patterns. This work presents an alternative novel method to reduce raw tick data whilst retaining important information for training, as demonstrated with intraday trading using the EURO/USD currency pair. This time series reduction method focuses on short periods preceding significant movements in financial features and allows the most popular neural network architectures to be applied using less powerful but more readily available computer resources. It is shown that the proposed data preprocessing method for machine learning and other AI‐techniques successfully reduced the size of the selected dataset covering a three‐year period (2018–2021) by 275 times.
- Subjects
TICKS; BIG data; MACHINE learning; BUSINESS forecasting; TIME series analysis; CRYPTOCURRENCIES; FINANCIAL markets
- Publication
Expert Systems, 2024, Vol 41, Issue 7, p1
- ISSN
0266-4720
- Publication type
Article
- DOI
10.1111/exsy.13537