Equity Deep Learning/StatArb Portfolio Management System (2016–2018)

Deep learning-based semi-automatic trading system for US stock market. The system automatically extracts a sensible information (in form of features for a deep learning model) from both publicly-available and subscription-based sources of daily and high-frequency market data. After a second stage of dimensionality reduction and features re-combination (via back-testing & cross-validation) the most relevant features are then used to train a complex non-linear model on GPU. The portfolio optimization-driven trading strategy uses probabilistic forecasts made by the model and current positions on the market to generate specific instructions for the traders.

Peter Gagarinov
Peter Gagarinov
Software Engineering Architect and Consultant

Software engineering architect and an open source enthusiast with a focus on machine learning, trading system, applied financial and mathematical modelling, distributed systems and technical computing.

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