High‐Frequency Trading and Financial Time‐Series Prediction with Spiking Neural Networks
Kang Gao, Wayne W. Luk, Stephen Weston · Wilmott · 2021
A novel new method is introduced - “unsupervised spike learning” - which predicts spikes in price time series instead of price movement and direction. Three rewarding high-frequency trading strategies are developed and backtested by Kang Gao, Wayne Luk, and Stephen Weston.