Yury Kirillov / Profile

This article describes the use of methods of the theory of probability and mathematical statistics in the analysis of trading systems.

The main difference of the trading system proposed in the article is the use of mathematical tools for analyzing stock quotes. The system applies digital filtering and spectral estimation of discrete time series. The theoretical aspects of the strategy are described and a test Expert Advisor is created.

This article is a continuation of the series of articles about deep neural networks. Here we will consider selecting samples (removing noise), reducing the dimensionality of input data and dividing the data set into the train/val/test sets during data preparation for training the neural network.

The second article of the series about deep neural networks will consider the transformation and choice of predictors during the process of preparing data for training a model.

This series of articles continues exploring deep neural networks (DNN), which are used in many application areas including trading. Here new dimensions of this theme will be explored along with testing of new methods and ideas using practical experiments. The first article of the series is dedicated to preparing data for DNN.