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Algorithmic Trading Challenge implemented as part of the term project for Foundations of Machine Learning at NYU Courant in Fall 2016 (http://cs.nyu.edu/courses/fall16/CSCI-GA.2566-001/index.html/)
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54
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New Heuristic: Make clusters based on behavior. Train different models on different clusters
d12eb73View on GitHubFixing a grave mistake in the classification features! :( :(
ab2c332View on GitHubNew Heuristic: Time Slots based modelling. Dividing the post-liquidity shocks in time-slots and make separate models for each of the slots.
ae78373View on GitHubModelling with so much data was taking so much time. Reducing the time-ticks to consider
13d6d18View on GitHub