Machine Learning on Financial Time Series, Part II

Introduction

The code is at https://github.com/jli05/MacroTimeSeries.

LSTM

The train/validation data is obtained as for the Denoising Auto-Encoder. We train a simple LSTM with 5 units for the c and h cells respectively. At each time step, we do linear transform of the h cell content to predict next day’s observation. The loss is measured by the MSRE overall.

We can observe that the MSRE is roughly the same as for the Auto-Encoder.