Feature extraction

8 April 202231 August 2024Bayesian Optimisation, Data, Feature extraction, intraday forex, Machine Learning, Market Classifier, Neural nets, Oanda, Octave

Simple Machine Learning Models on OrderBook/PositionBook Features

This post is about using OrderBook/PositionBook features as input to simple machine learning models after previous investigation into the relevance of such […]

25 March 202231 August 2024API, Data, Feature extraction, intraday forex, Machine Learning, Oanda, R

OrderBook and PositionBook Features

In my previous post I talked about how I planned to use constrained optimization to create features from Oanda’s OrderBook and PositionBook data, which […]

18 June 2020Delay Embedding, Feature extraction, Machine Learning, Monte Carlo, Neural nets, Synthetic Data

More Work on RVFL Networks

Back in November last year I posted about Random Vector Functional Link (RVFL) networks here and here. Since then, along with my […]

1 October 2019Currency Strength, Cycle Period, Delay Embedding, Feature extraction, Machine Learning, Octave, R

Ideal Cyclic Tau Embedding as Times Series Features

Continuing on from my Ideal Tau for Time Series Embedding post, I have now written an Octave function based on these ideas […]

20 April 2017Currency Strength, Feature extraction, Moving averages, Neural nets, Octave, Savitzky-Golay

Using the BayesOpt Library to Optimise my Planned Neural Net

Following on from my last post, I have recently been using the BayesOpt library to optimise my planned neural net, and this post […]

3 February 2016C++, Conditional Restricted Boltzmann Machine, Feature extraction, Machine Learning, Neural nets, Octave, RBM

Refactored Denoising Autoencoder Update #2

Below is this second code update. % select rolling window length to use – an optimisable parameter via pso? rolling_window_length = 50 […]

13 October 2015C++, Digital Signal Processing, Feature extraction

Giving up on Runge-Kutta Methods (for now?)

Over the last few weeks I have been looking at using Runge-Kutta methods for the creation of features, but I have decided […]

28 September 2015Feature extraction, Octave, Savitzky-Golay

Runge-Kutta Example and Code

Following on from my last post I thought I would, as a first step, code up a “straightforward” Runge-Kutta function and show how […]

24 September 2015Conditional Restricted Boltzmann Machine, Feature extraction, Particle Swarm Optimisation

Runge-Kutta Methods

As stated in my previous post I have been focusing on getting some meaningful features as possible inputs to my machine learning […]

10 September 2015Feature extraction, R

Recent reading

In my last post I mentioned that I was going away for the summer, but now I’m back. During the summer I […]