Explainable Machine Learning-driven Strategy for Automated Trading Pattern Extraction. A Case Study of CME Futures. Reproducibility package.

dataset

posted on 2021-05-13, 11:30 authored by Artur SokolovskyArtur Sokolovsky, Luca ArnaboldiLuca Arnaboldi, Jaume Bacardit, Thomas R. Gross

This is a reproducibility package for "Explainable Machine Learning-driven Strategy for Automated Trading Pattern Extraction. A Case Study of CME Futures.". For the moment of submission the study is available at ArXiv: 2103.12419.

Funding

EP/M020576/1

History

UoA

Computer Science and Informatics

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Keywords

Futures Trading Volume Profiles Tree Boosting Explainable Machine Learning Applied Computer Science Pattern Recognition and Data Mining

Licence

CC BY 4.0