Towards Deep Linear Networks for Financial Forecasting

The concepts of Deep Learning traditionally associated with nonlinear forecasting and estimation are applied here to provide linear forecasting solutions. The methodology of Linear Deep Learning is here applied to a... [ view full abstract ]

The concepts of Deep Learning traditionally associated with nonlinear forecasting and estimation are applied here to provide linear forecasting solutions. The methodology of Linear Deep Learning is here applied to a daily-cycle technical trading problem and found to yield simple yet powerful results, as demonstrated by hypothetical out-of-sample trading of the FTSE100 and other indices.