Chris Pollett > Students > Kabra
[Bio] [Blog] |
CS297 ProposalAlgorithmic TradingSonal Kabra (sonal.kabra@sjsu.edu) Advisor: Dr. Chris Pollett Description: Algorithmic trading is the process of using a computer program to follow a defined set of instructions for placing a trades at speeds, complexity, or frequency beyond what a human trader can do. Algorithmic trading can be based on timing, price, quantity or any mathematical model. For this project I will use St Louis Fed for economic indicators and Qandl stock data sets. I will build multi-layer neural networks to predict buy, sell or hold classification for a single or a portfolio of stocks for time scales of one day, one month, and one year. I will also work on neural networks to try to improve the estimates of stocks or economic volatility measures. Schedule:
Deliverables: The full project will be done when CS298 is completed. The following will be done by the end of CS297: 1. Measure volatility of stock by inputing stock ticker 2. Implement the simple neural net for estimating starting month of give dataset 3. Implement the K- nearest neighbor and Decision tree algorithm for stock prediction 4. Get the previous program to work with the portfolio of stock 5. CS297 Report References: [2015] Basics of Algorithmic Trading: Concepts and Examples. Shobhit Seth. Investopedia. 2015. [2013] ALGORITHMIC TRADING USING MACHINE LEARNING TECH-NIQUES: FINAL REPORT. Shao, Chenxu, and Zheming Zheng. Learning 5. 2013. |