机器学习在交易世界中的运用

机器学习在交易世界中的运用

Trading is a competitive business. You need great people and great technology, of course, but also trading strategies. Where do those strategies come from? In this post we’ll discuss how the interplay of data, math and technology informs how develop and run strategies.

Get the data

Building the infrastructure to gather, store, index and retrieve this amount of data efficiently and with microsecond-level accuracy is itself an interesting job.

Clean the data

The raw data that we receive is frequently missing, corrupted, misaligned, or has other issues. Before we can deploy any modeling techniques, we need to sanitize the data. This is a crucially important part of the process, unavoidable but admittedly tedious

Leverage domain expertise

The more you know about the problem you are trying to solve, the greater your ability to build good models. This comes up in many ways throughout the process: choice of objective function, reasonable approximations, and the algorithm used to solve it. Image models often have translation invariance, for example, while financial models often have low signal to noise ratios and a lot of game theoretic priors. Expertise like this is hard-won, resulting from many previous successful and unsuccessful efforts. 

Build a model

This is the part that gets everyone excited in ML. However, we’ve found that standard techniques almost never work out-of-the-box. The more you understand about what makes an algorithm work or fail, the more likely you are to come up with effective ways to modify it and make it work on the problem at hand. Or come up with something entirely new!

Validate the model

There is no shortage of ways to fool yourself when building ML systems, especially in a competitive world like trading. Some of the most exciting parts of the process come when a new ML system shows, with high probability, that it’s better than what we had in the past. That’s how we know we’re making real progress.

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C++ Developer  (Trading Platform)

Quantitative Researcher (Machine Learning) 

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