Convolutional Neural Networks are the latest breakthrough in deep learning.
Convolutional Neural Network have provided the breakthrough in image recognition, health and other fields.
Today there is a lot of talk on finally achieving autonomous car driving.
Can we use Convolutional Neural Networks in algorithmic trading?
I have written a blog post in which I develop a Convolutional Neural Network Algorithmic Trading System.
I have developed this model using python modules keras, tensorflow and numpy.
In this blog post, I use USDJPY 1 hour price data to predict USDJPY price 24 hours later.
The prediction was dead accurate next day.
My laptop took only 10-20 seconds to train the model with tensorflow at the backend.
I have bought a gaming laptop and yet to install tensorflow gpu.
When I do that I believe the model will take less than 1 second to make the predictions.
What this means is that we can use this model on high frequency data like 1 second and even 30 second.
Deep learning is being used extensively by the hedge funds and the big banks in building their algorithmic trading systems.
