Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market
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- Ślepaczuk Robert & Zenkova Maryna, 2018. "Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market," Central European Economic Journal, Sciendo, vol. 5(52), pages 186-205, January.
References listed on IDEAS
- Kosc, Krzysztof & Sakowski, Paweł & Ślepaczuk, Robert, 2019.
"Momentum and contrarian effects on the cryptocurrency market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 691-701.
- Krzysztof Kość & Paweł Sakowski & Robert Ślepaczuk, 2018. "Momentum and contrarian effects on the cryptocurrency market," Working Papers 2018-09, Faculty of Economic Sciences, University of Warsaw.
- Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers 2012-04, Faculty of Economic Sciences, University of Warsaw.
- Huerta, Ramon & Corbacho, Fernando & Elkan, Charles, 2013. "Nonlinear support vector machines can systematically identify stocks with high and low future returns," Algorithmic Finance, IOS Press, vol. 2(1), pages 45-58.
- Tay, Francis E. H. & Cao, Lijuan, 2001. "Application of support vector machines in financial time series forecasting," Omega, Elsevier, vol. 29(4), pages 309-317, August.
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Cited by:
- Bartosz Bieganowski & Robert 'Slepaczuk, 2024. "Supervised Autoencoders with Fractionally Differentiated Features and Triple Barrier Labelling Enhance Predictions on Noisy Data," Papers 2411.12753, arXiv.org, revised Nov 2024.
- Mahmut Bağcı & Pınar Kaya Soylu & Selçuk Kıran, 2024. "The Symmetric and Asymmetric Algorithmic Trading Strategies for the Stablecoins," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2663-2684, November.
- Maudud Hassan Uzzal & Robert Ślepaczuk, 2023. "The performance of time series forecasting based on classical and machine learning methods for S&P 500 index," Working Papers 2023-05, Faculty of Economic Sciences, University of Warsaw.
- Yanzhao Zou & Dorien Herremans, 2022. "PreBit -- A multimodal model with Twitter FinBERT embeddings for extreme price movement prediction of Bitcoin," Papers 2206.00648, arXiv.org, revised Oct 2023.
- Bartosz Bieganowski & Robert Slepaczuk, 2024.
"Supervised Autoencoder MLP for Financial Time Series Forecasting,"
Papers
2404.01866, arXiv.org, revised Jun 2024.
- Bartosz Bieganowski & Robert Ślepaczuk, 2024. "Supervised Autoencoder MLP for Financial Time Series Forecasting," Working Papers 2024-03, Faculty of Economic Sciences, University of Warsaw.
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More about this item
Keywords
machine learning; support vector machines; investment algorithm; algorithmic trading; strategy; optimization; cross-validation; overfitting; cryptocurrency market; technical analysis; meta parameters;All these keywords.
JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2019-01-28 (Big Data)
- NEP-CMP-2019-01-28 (Computational Economics)
- NEP-PAY-2019-01-28 (Payment Systems and Financial Technology)
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