Neural networks for algorithmic trading. Multivariate time series

Illustration of 2-variate time series

In previous post we discussed several ways to forecast financial time series: how to normalize data, make prediction in the form of real value or binary variable and how to deal with overfitting on highly noisy data. But what we skipped (on purpose) — is that our .csv file with prices basically has much more data that we may use. In last post only close prices with some…

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