Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index
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References listed on IDEAS
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Cited by:
- Kamil Kashif & Robert 'Slepaczuk, 2024.
"LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies,"
Papers
2406.18206, arXiv.org.
- Kamil Kashif & Robert Ślepaczuk, 2024. "LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies," Working Papers 2024-07, Faculty of Economic Sciences, University of Warsaw.
- Karol Chojnacki & Robert Ślepaczuk, 2023. "This study compares well-known tools of technical analysis (Moving Average Crossover MAC) with Machine Learning based strategies (LSTM and XGBoost) and Ensembled Machine Learning Strategies (LSTM ense," Working Papers 2023-15, Faculty of Economic Sciences, University of Warsaw.
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More about this item
Keywords
machine learning; deep learning; recurrent neural networks; LSTM; algorithmic trading; ensemble investment strategy; intra-day trading; S&P 500 Index; Bitcoin;All these keywords.
JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2022-12-05 (Big Data)
- NEP-CMP-2022-12-05 (Computational Economics)
- NEP-FMK-2022-12-05 (Financial Markets)
- NEP-PAY-2022-12-05 (Payment Systems and Financial Technology)
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